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Which COVID-19 information really impacts stock markets?

Szczygielski, Jan Jakub; Charteris, Ailie; Bwanya, Princess Rutendo; Brzeszczyński, Janusz

Authors

Jan Jakub Szczygielski

Ailie Charteris

Princess Rutendo Bwanya

Janusz Brzeszczyński



Abstract

Information about 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's outbreak and a country's development level also matter in terms of impact.

Citation

SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? Journal of international financial markets, institutions and money [online], 84, article 101592. Available from: https://doi.org/10.1016/j.intfin.2022.101592

Journal Article Type Article
Acceptance Date May 23, 2022
Online Publication Date May 27, 2022
Publication Date Apr 30, 2023
Deposit Date Apr 11, 2023
Publicly Available Date Mar 29, 2024
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 84
Article Number 101592
DOI https://doi.org/10.1016/j.intfin.2022.101592
Keywords COVID-19; Stock markets; Uncertainty; Lockdowns; Government responses
Public URL https://rgu-repository.worktribe.com/output/1925331
Related Public URLs https://rgu-repository.worktribe.com/output/1925343 (Dataset)

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