Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/219336
Authors: 
Lyócsa, Štefan
Baumöhl, Eduard
Výrost, Tomáš
Molnár, Peter
Year of Publication: 
2020
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.
Subjects: 
Coronavirus
Stock market
Uncertainty
Panic
Google Trends
JEL: 
G01
G15
Document Type: 
Working Paper

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