What threatens stock markets more - The coronavirus or the hype around it?

Alexander Nepp, Ostap Okhrin, Julia Egorova, Zarnigor Dzhuraeva and Alexander Zykov

International Review of Economics & Finance, 2022, vol. 78, issue C, 519-539

Abstract: We use a linear regularized model with structural changes and found that the coronavirus pandemic had a direct and an indirect effect (via media hype) on stock markets. We reveal a correlation between internet search queries, discussions of the pandemic in the press and social media, and changes in stock market indices. We demonstrated that the effect of the pandemic coverage in digital and printed media and the effect of Google queries was comparable to, and sometimes even exceeded, the effect of the pandemic itself. We showed the effect of hype on the volume of Google queries and social media publications.

Keywords: Covid-19; Hype; Social media; Stock indexes; LASSO (search for similar items in EconPapers)
JEL-codes: G32 G41 I1 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:78:y:2022:i:c:p:519-539

DOI: 10.1016/j.iref.2021.12.007

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