Research Output
Which COVID-19 information really impacts stock markets?
  Information about the COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. Out of 24 measures, COVID-19 related Google search trends, the stringency of government responses and media hype prevail during the height of the COVID-19 crisis. These measures proxy for COVID-19 related uncertainty, the economic impact of lockdowns and panic-driven media attention, respectively, summarizing key aspects of COVID-19 that move stock markets. Moreover, geographical proximity to the virus鈥檚 outbreak and a country鈥檚 development level also matter in terms of impact.

  • Date:

    27 May 2022

  • Publication Status:

    Published

  • Publisher

    Elsevier BV

  • DOI:

  • ISSN:

    1042-4431

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

麻豆社区

Szczygielski, J. J., Charteris, A., Bwanya, P. R., & Brzeszczy艅ski, J. (2023). Which COVID-19 information really impacts stock markets?. Journal of International Financial Markets, Institutions and Money, 84, Article 101592. https://doi.org/10.1016/j.intfin.2022.101592

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