Global contagion of US COVID-19 panic news

Yong Joo Kang, Dojoon Park and Young Ho Eom

Emerging Markets Review, 2024, vol. 59, issue C

Abstract: We investigate the contagion of US COVID-19 panic news, measured by the sentiment-based RavenPack US Panic Index, on the local stock market returns of 48 countries. Local stock market returns are found to be more significantly negatively associated with the US panic news than local panic news. Our results show that a 1% increase in the US Panic Index reduces local stock returns by 1.44%. The result holds for regional and subregional groupings and are robust to alternative measures of COVID-19 information. Furthermore, our contagion channel analysis shows that the differences of opinion channel is the key contagion transmission channel from the US to local markets. This alludes to the investor behavior contagion view, and not the fundamental contagion view, being the main driver of global contagion during the pandemic.

Keywords: COVID-19; Pandemic; Panic index; Sentiment; Contagion (search for similar items in EconPapers)
JEL-codes: C33 G01 G10 G15 G41 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014124000116
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116

DOI: 10.1016/j.ememar.2024.101116

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().