Investor Attention and Global Stock Market Volatility: Evidence from COVID-19

Abstract

This paper utilizes intraday five-minute stock market indices to investigate the causal relation between global stock market volatility and investor attention measured by the Google search volume index during the COVID-19 pandemic. Using the bi-power variation method proposed by Barndorff-Nielsen and Shephard (2004), we separate the realized volatility into two components: Continuous and Jump. Based on 5,583 stock indices-day observations, we find that investor attention is positively related to the realized volatility and its continuous component, but to a lesser extent to jumps. A growth in confirmed cases is positive to all measures of market volatility. Moreover, when the number of confirmed cases increases, more attentive investors reduce market volatility. Our findings are robust regarding various estimation approaches and are less likely to suffer from omitted variable biases and endogeneity concerns. Understanding the findings revealed in this paper is crucial to regulators and policymakers as warnings of additional risks facing retail investors around the globe over the extremely volatile periods. JEL Codes: G14; G15; G40; G41

The Influence of Foreign and Domestic Investors on the Price and Volume of Stocks the Indonesian Stock Exchange: Testing January Effect

“…The third hypothesis (H3) is accepted. This result is in line with the results of previous research that the behavior of stock investors during the covid-19 pandemic through panel data (Padungsaksawadi & Theerpongkaruna, 2023) , premium stock liquidity has Trading volume (Stereńczak, 2021) , Foreign investors tend to stocks that have a large size while domestic prefer stocks with large dividend payments, low financial difficulties and high growth potential. U.S. investors are reluctant to invest in foreign companies with aggressive profit management, especially those from countries with poor disclosure regimes (J.…”

“…The fourth hypothesis (H4) is accepted. The results of the study are in line with previous researchers that investor attention and stock market prices (Padungsaksawadi & Theerpongkaruna, 2023), stock investor behavior during the covid-19 pandemic through panel data (Padungsaksawasdi et al, 2019), premium stock liquidity, and trading volume (Stereńczak, 2021). Another study support that foreigners prefer to invest in stocks with less information uncertainty to overcome information losses.…”

“…This second hypothesis (H2) is accepted. The results of this study are in line with the study of investor attention and stock market prices (Padungsaksawadi & Theerpongkaruna, 2023). This result is in line with signaling theory that investor will respond for price movement.…”

“…Discussion related to theory January effect states that the results are in line with previous researchers that the theory january effect have an impact on changes in stock prices (Nisar et al, 2022), difference January effect on (Zarika et al, 2019) , investor attention and stock market prices (Padungsaksawadi & Theerpongkaruna, 2023), stock investor behavior during the covid-19 pandemic through panel data (Padungsaksawasdi et al, 2019), premium stock Liquidity contained trading volume (Stereńczak, 2021). Differences in the assessment of domestic and foreign investors on the stock market (Kang et al, 2010).…”

The impact of government policy responses on airline stock return during the COVID-19 crisis

“… 1 Padungsaksawasdi and Treepongkaruna (2021 , 2023) document meaningful impacts of the COVID-19 on global stock market performance and global stock market volatility. …”