Explaining stock markets' performance during the COVID‐19 crisis: Could Google searches be a significant behavioral indicator?

Q1 Economics, Econometrics and Finance Intelligent Systems in Accounting, Finance and Management Pub Date : 2021-08-16 DOI:10.1002/isaf.1499

Evangelos Vasileiou

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引用次数: 8

Abstract

Summary The purpose of this study is to examine the impact of the pandemic on the performance of stock markets, focusing on the behavioral influence of the fear due to COVID‐19. Using a data set of 10 developed countries during the period December 31, 2019, to September 30, 2020, we examine the impact of COVID‐19 on the performance of the stock markets. We incorporate the impact of the COVID‐19 pandemic using the following variables: (a) the number of new COVID‐19 cases, which was widely used as the main explanatory variable for market performance in early financial studies, and (b) a Google Search index, which collects the number of Google searches related to COVID‐19 and incorporates the health risk and the fear of COVID‐19 (the higher the number of searches for Covid terms, the higher the index value, and the higher the fear index). We employ our input into an EGARCH(1,1,1) model, and the findings show that the Google Search index enables us to draw statistically significant information regarding the impact of the COVID‐19 fear on the performance of the stock markets. On the other hand, the variable of the number of new COVID‐19 cases does not have any statistically significant influence on the performance of the stock markets. Google searches could be a useful tool for supporters of behavioral finance, scholars, and practitioners.

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解释COVID - 19危机期间股市的表现:谷歌搜索能成为一个重要的行为指标吗?

本研究的目的是研究大流行对股票市场表现的影响，重点关注因COVID - 19引起的恐惧对行为的影响。我们使用2019年12月31日至2020年9月30日期间10个发达国家的数据集，研究了COVID - 19对股票市场表现的影响。我们COVID的影响检测19大流行使用以下变量:(a)新的COVID 19例,被广泛用作市场表现的主要解释变量在早期金融研究中,和(b)谷歌搜索索引,它收集的谷歌搜索相关COVID 19和包含了健康风险,害怕COVID 19(搜索COVID术语的数量越高,指数值越高,和恐惧指数越高)。我们将我们的输入应用到EGARCH(1,1,1)模型中，结果表明，谷歌搜索指数使我们能够得出有关COVID - 19恐惧对股票市场表现影响的统计显著信息。另一方面，新冠病例数这一变量对股票市场的表现没有任何统计学意义上的显著影响。对于行为金融学的支持者、学者和实践者来说，谷歌搜索可能是一个有用的工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Intelligent Systems in Accounting, Finance and Management Economics, Econometrics and Finance-Finance

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Intelligent Systems in Accounting, Finance and Management is a quarterly international journal which publishes original, high quality material dealing with all aspects of intelligent systems as they relate to the fields of accounting, economics, finance, marketing and management. In addition, the journal also is concerned with related emerging technologies, including big data, business intelligence, social media and other technologies. It encourages the development of novel technologies, and the embedding of new and existing technologies into applications of real, practical value. Therefore, implementation issues are of as much concern as development issues. The journal is designed to appeal to academics in the intelligent systems, emerging technologies and business fields, as well as to advanced practitioners who wish to improve the effectiveness, efficiency, or economy of their working practices. A special feature of the journal is the use of two groups of reviewers, those who specialize in intelligent systems work, and also those who specialize in applications areas. Reviewers are asked to address issues of originality and actual or potential impact on research, teaching, or practice in the accounting, finance, or management fields. Authors working on conceptual developments or on laboratory-based explorations of data sets therefore need to address the issue of potential impact at some level in submissions to the journal.