Crash Fears and Stock Market Effects: Evidence From Web Searches and Printed News Articles

Jussi Nikkinen and Jarkko Peltomäki

Journal of Behavioral Finance, 2020, vol. 21, issue 2, 117-127

Abstract: The authors studied the complex relationship between information supply and demand using newspaper articles and web searches that reflect investors’ crash fears. They report that more web searches lead to more news, whereas more news does not have that effect on web search in the future. The authors show also that web searches have an immediate effect on stock market returns and the VIX implied volatility, whereas the effect of news articles lasts longer, up to 11 weeks. The results suggest collectively that the web searches related to market crashes lead both the printed news stories about market crashes.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/15427560.2019.1630125 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:hbhfxx:v:21:y:2020:i:2:p:117-127

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/hbhf20

DOI: 10.1080/15427560.2019.1630125

Access Statistics for this article

Journal of Behavioral Finance is currently edited by Brian Bruce

More articles in Journal of Behavioral Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().