Economics at your fingertips  

Does investor attention increase stock market volatility during the COVID-19 pandemic?

Hua Wang, Liao Xu and Susan Sunila Sharma

Pacific-Basin Finance Journal, 2021, vol. 69, issue C

Abstract: We decompose investor attention to the COVID-19 pandemic into expected and unexpected segments and investigate their effects on realized and fundamental stock market volatility. We show that expected investor attention can explain both types of volatility. However, unexpected investor attention can only explain realized volatility, though its realized volatility effect outweighs that of expected investor attention. Moreover, the relationship between expected investor attention and either type of volatility is unidirectional whereas the interaction between unexpected investor attention and realized volatility is bidirectional. These findings suggest that expected (unexpected) investor attention is informational (noisy and more harmful) to the stock market.

Keywords: COVID-19; Efficient price; Investor attention; Stock market volatility (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.pacfin.2021.101638

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-01-15
Handle: RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001451