Fear of the coronavirus and the stock markets

Štefan Lyócsa, Eduard Baumohl, Tomáš Výrost and Peter Molnár

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: Since the outbreak of the COVID-19 pandemic, stock markets around the world have experienced unprecedented declines, which have resulted in extremely high stock market uncertainty, measured as price variation. In this paper, we show that during such periods, Google Trends data represent a timely and valuable data source for forecasting price variation. Fear of the coronavirus, as measured by Google searches is predictive of future stock market uncertainty for stock markets around the world. Google searches were also strongly correlated with the evolution of physical contagion (the number of new cases), and with implemented nonpharmaceutical interventions. The effect of pandemic-related policies on investors' attention and fear is thus very well captured by Google Trends data.

Keywords: Coronavirus; Stock market; Uncertainty; Panic; Google Trends (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-big, nep-fmk and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Journal Article: Fear of the coronavirus and the stock markets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:219336

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