Which COVID-19 information really impacts stock markets?

Jan Jakub Szczygielski, Ailie Charteris, Princess Rutendo Bwanya and Janusz Brzeszczynski

Journal of International Financial Markets, Institutions and Money, 2023, vol. 84, issue C

Abstract: Information about the COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. Out of 24 measures, COVID-19 related Google search trends, the stringency of government responses and media hype prevail during the height of the COVID-19 crisis. These measures proxy for COVID-19 related uncertainty, the economic impact of lockdowns and panic-driven media attention, respectively, summarizing key aspects of COVID-19 that move stock markets. Moreover, geographical proximity to the virus’s outbreak and a country’s development level also matter in terms of impact.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749

DOI: 10.1016/j.intfin.2022.101592

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