Article ; Online: Information Search and Financial Markets under COVID-19
Entropy, Vol 22, Iss 791, p
2020 Volume 791
Abstract: The discovery and sudden spread of the novel coronavirus (COVID-19) exposed individuals to a great uncertainty about the potential health and economic ramifications of the virus, which triggered a surge in demand for information about COVID-19. To ... ...
| Abstract | The discovery and sudden spread of the novel coronavirus (COVID-19) exposed individuals to a great uncertainty about the potential health and economic ramifications of the virus, which triggered a surge in demand for information about COVID-19. To understand financial market implications of individuals’ behavior upon such uncertainty, we explore the relationship between Google search queries related to COVID-19—information search that reflects one’s level of concern or risk perception—and the performance of major financial indices. The empirical analysis based on the Bayesian inference of a structural vector autoregressive model shows that one unit increase in the popularity of COVID-19-related global search queries, after controlling for COVID-19 cases, results in <math display="inline"> <semantics> <mrow> <mn>0.038</mn> </mrow> </semantics> </math> – <math display="inline"> <semantics> <mrow> <mn>0.069</mn> </mrow> </semantics> </math> % of a cumulative decline in global financial indices after one day and <math display="inline"> <semantics> <mrow> <mn>0.054</mn> </mrow> </semantics> </math> – <math display="inline"> <semantics> <mrow> <mn>0.150</mn> </mrow> </semantics> </math> % of a cumulative decline after one week. |
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| Keywords | COVID-19 ; information ; Google trends ; risk perception ; financial markets ; SVAR ; Science ; Q ; Astrophysics ; QB460-466 ; Physics ; QC1-999 |
| Subject code | 511 |
| Language | English |
| Publishing date | 2020-07-01T00:00:00Z |
| Publisher | MDPI AG |
| Document type | Article ; Online |
| Database | BASE - Bielefeld Academic Search Engine (life sciences selection) |
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