Public Concern and the Financial Markets during the COVID-19 outbreak

Michele Costola, Matteo Iacopini and Carlo Santagiustina

Papers from arXiv.org

Abstract: We measure the public concern during the outbreak of COVID-19 disease using three data sources from Google Trends (YouTube, Google News, and Google Search). Our findings are three-fold. First, the public concern in Italy is found to be a driver of the concerns in other countries. Second, we document that Google Trends data for Italy better explains the stock index returns of France, Germany, Great Britain, the United States, and Spain with respect to their country-based indicators. Finally, we perform a time-varying analysis and identify that the most severe impacts in the financial markets occur at each step of the Italian lock-down process.

Date: 2020-05
New Economics Papers: this item is included in nep-big and nep-mst
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