COVID-19 fear index: does it matter for stock market returns?

Subramaniam, Sowmya; Chakraborty, M.

doi:10.1108/rbf-08-2020-0215

Cited by 57 publications

(40 citation statements)

References 34 publications

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“…As to the COVID-19 disease specifically, results are in line with studies that have demonstrated the correlation between internet user attention (typically Google metrics)as a gauge of panic and fearand either market returns (Costola et al, 2020;Vasileiou, 2020;Iyke and Ho, 2021;Shear et al, 2021;Smales, 2021;Subramaniam and Chakraborty, 2021) or their volatility (Ly ocsa et al, 2020). The present study evaluates the impact of SM user attention on the local Australian financial market, here proxied by the topic-related number of Tweets and similarly to Valle-Cruz et al (2021)their negative content.…”

Section: Resultssupporting

confidence: 86%

“…These studies, none of them dedicated uniquely to the Australian market, typically use Google metrics (GSVs or GTs) with search terms such as "coronavirus" as a proxy of investor attention and fear (Costola et al, 2020;Vasileiou, 2020;Iyke and Ho, 2021;Ly ocsa et al, 2020;Shear et al, 2021;Smales, 2021;Subramaniam and Chakraborty, 2021).…”

Section: Discussionmentioning

confidence: 99%

“…Ly ocsa et al (2020) used Google Search Volume (GSV) activity related to nonpharmaceutical intervention policies as a gauge of panic and fear, resulting in a significant predictor of high stock market volatility. Similar methodology was used by Subramaniam and Chakraborty (2021) and Vasileiou (2020), who found a strong negative and persistent association between COVID-19 fear and stock returns. Shear et al (2021) also used abnormal GSV of the word "coronavirus" as a proxy of investors' attention, finding that the negative impact of investors' attention on stock market returns was stronger in countries where investors possessed higher "uncertainty avoidance" cultural values.…”

Section: Introductionmentioning

confidence: 94%

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Australian market response to COVID-19 as moderated by social media

Maia

Tommasetti

Macedo

2021

PAR

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Purpose Emerging as a black swan event that stifled the global economy, COVID-19 is the first social media (SM) pandemic. In an unsocial age due to social distancing, SM relevance is intuitively magnified during a pandemic. This study aims to investigate the direct and moderating impact of Twitter on the Australian stock market during the COVID-19 info-pandemic. Design/methodology/approach As a natural experiment, a time-series regression measures the effect of the COVID-19 virus, proxied by the active cases and the marginal impact of SM user attention and sentiment on the Australian stock market. Findings Results show that SM user attention and sentiment to COVID-19 related fear topics are significant in explaining market returns and in predicting their volatility. It demonstrates that SM plays a role between COVID-19 and Australian stock market performance by amplifying the pandemic impact. Originality The study goes beyond a purely empirical investigation of the catalyst (i.e. the pandemic), thus contributing to current theoretical debates on the impact of SM on investor behaviour. Practical implications Policymakers and market participants could benefit from the empirical findings of this research in the case of analogous epidemics.

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Section: Resultssupporting

confidence: 86%

Section: Discussionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 94%

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Australian market response to COVID-19 as moderated by social media

Maia

Tommasetti

Macedo

2021

PAR

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“…On the other hand, Ly ocsa et al ( 2020), used Google Search Volume (GSV) activity as an indicator of fear and confirmed the predictive power of COVID fear for the variation of stock market prices. Subramaniam and Chakraborty (2021) also corroborate a robust negative association between the COVID-19 fear index and stock returns using GSV activity of the search terms related to COVID-19 words and phrases contained in Google and Internet dictionaries. Vasileiou (2021) also used a coronavirus fear index based on Google searches for the term 'coronavirus' to analyze stock market efficiency, demonstrating how this fear influences U.S. stock market performance negatively.…”

Section: Literature Reviewsupporting

confidence: 65%

Influence of COVID-induced fear on sovereign bond yield

Paule-Vianez

2021

Economic Research-Ekonomska Istraživanja

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There is limited literature exploring the relationship between the sentiment of fear and bond markets. This study analyzes the influence of fear generated by the coronavirus on bond markets, particularly on the yield of sovereign bond debt issued by the G7 countries (Germany, Canada, the United States, France, Italy, Japan, and the United Kingdom). To accomplish this, search volumes compiled by Google Trends on the topic of coronavirus were used as a proxy for COVID-induced fear. The results from applying a panel data approach for the period from 1 January 2020 to 30 December 2020, show that this fear positively impacts the 10-year sovereign bond yield. We show that a one-point increase in COVID-induced fear was associated with an increase in the weekly change in the sovereign bond yield of around 0.0007%. Thus, we found that COVID-induced fear was associated with an increase in country risk perception. These findings have important implications for policymakers by demonstrating the importance of searching a balance between health concerns and impacts on the economy to avoid increasing country risk. In addition, the results obtained show that in times of greater fear of the coronavirus, investors can obtain higher returns by investing in safe assets, such as sovereign bonds.

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“…COVID-19 induced panic and concerns amidst investors, thus contributing to social mindsets such as the herding behavior (Mnif et al 2020). Shaikh and Huynh (2021) documented that investors' concern came out to be greater in the equity sector first-ever since the stock market crash of 1987 and the global financial crisis of 2008-2009. For instance, Subramaniam and Chakraborty (2021) found a robust negative relationship among COVID-19 fear and stock returns. Hence, returns were adversely influenced by fear through rising the market risk premium claimed by stockholders (Aggarwal et al 2021).…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

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COVID-19 fear index: does it matter for stock market returns?

Cited by 57 publications

References 34 publications

Australian market response to COVID-19 as moderated by social media

Australian market response to COVID-19 as moderated by social media

Influence of COVID-induced fear on sovereign bond yield

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

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