Household pandemic Internet search intensity and stock returns: A case of tourism industry resiliency

This paper uses the Google Internet search volume index to capture pandemic attention and examines the effect of COVID-19 on the stock returns of the tourism industry. We find a significant negative effect of pandemic attention sentiment on tourism industry stock returns. The results are robust to the inclusion of alternative pandemic information variables and firm and business cycle controls. Results suggest that large-size firms, firms with better growth opportunities, and value stocks are more resilient to mitigate uncertainty induced by the pandemic. Investors welcome governmental economic policy interventions and thus adjust their return expectations less negatively. Finally, we find that the country's cultural dimension, government efficiency, stable financial system, and health system help to mitigate the downside risk of stock price movements induced by the pandemic.