Words matter: Market responses to changes in U.S. and Chinese trade-related internet search frequency under different U.S. administrations

Nathan Mauck, Stephen Pruitt and Wenjia Zhang

Global Finance Journal, 2022, vol. 53, issue C

Abstract: This paper employs internet search frequency data as a proxy for investor interest in innovations in stock market volatility surrounding the U.S./China trade relationship. The study documents a positive correlation between U.S. and China trade-related investor attention and market-wide share-price volatility in both nations—especially during the Trump administration. In addition, the study confirms previously established volatility spillover effects between U.S. and Chinese markets, which, again, are strongest during the Trump presidency. Overall, the results of the study support the validity of using publicly-available internet search data as a proxy for investor attention.

Keywords: U.S. and China trade; Investor attention; Volatility; Volatility spillover (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000448

DOI: 10.1016/j.gfj.2022.100742

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