Effects of investor sentiment and country governance on unexpected conditional volatility during the COVID-19 pandemic: Evidence from global stock markets

Yu-Lin Hsu and Leilei Tang

International Review of Financial Analysis, 2022, vol. 82, issue C

Abstract: This paper first investigates the relationship between investor sentiment, captured by internet search behaviour, and the unexpected component of stock market volatility during the COVID-19 pandemic. According to data on 12 major stock markets, our research indicates a positive correlation between the Google search volume index on COVID-19 and the unexpected volatility of stock markets. The result suggests that greater COVID-19-related investor sentiment during this pandemic is associated with higher stock market uncertainty.

Keywords: COVID-19; Country governance; Investor protection; Investor sentiment; Volatility (search for similar items in EconPapers)
JEL-codes: G01 G1 G18 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001478

DOI: 10.1016/j.irfa.2022.102186

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