TY - JOUR
T1 - In search of COVID-19 and stock market behavior
AU - Chundakkadan, Radeef
AU - Nedumparambil, Elizabeth
N1 - Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2022/11
Y1 - 2022/11
N2 - The aim of this paper is two-fold. First, we investigate the nexus between investor attention to COVID-19 and daily returns in 59 countries. We use Google Search Volume Index to account for investor attention. Our empirical findings suggest that the search volume of the pandemic is negatively associated with daily returns. The effect was strong in the week that the World Health Organization declared it as pandemic and among advanced countries. Second, we explore the relationship between search volume and market volatility. The findings suggest that COVID-19 sentiment generated excess volatility in the market. Our findings remain robust with alternative specifications.
AB - The aim of this paper is two-fold. First, we investigate the nexus between investor attention to COVID-19 and daily returns in 59 countries. We use Google Search Volume Index to account for investor attention. Our empirical findings suggest that the search volume of the pandemic is negatively associated with daily returns. The effect was strong in the week that the World Health Organization declared it as pandemic and among advanced countries. Second, we explore the relationship between search volume and market volatility. The findings suggest that COVID-19 sentiment generated excess volatility in the market. Our findings remain robust with alternative specifications.
UR - https://www.scopus.com/pages/publications/85103703262
UR - https://www.scopus.com/inward/citedby.url?scp=85103703262&partnerID=8YFLogxK
U2 - 10.1016/j.gfj.2021.100639
DO - 10.1016/j.gfj.2021.100639
M3 - Article
AN - SCOPUS:85103703262
SN - 1044-0283
VL - 54
JO - Global Finance Journal
JF - Global Finance Journal
M1 - 100639
ER -