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Information search and financial market performance under pandemic: evidence from Covid-19

The discovery, and subsequent spread, of the novel coronavirus (Covid-19) exposed both individuals and investors to a grave uncertainty about the potential health and economic ramifications of the virus, particularly in the early days and weeks of the now full-blown pandemic. To understand the financial market implications of individuals' behavior upon such uncertainty, we explore the relationship between Google search queries related to the coronavirus---a critical element guiding individuals' subsequent decisions, including financial- --and the performance of major financial indices. Our preliminary empirical analysis, using daily data between January 22, 2020 and May 4, 2020, in conjunction with a structural vector autoregressive model, shows that one unit increase in global search interest of Covid-19 results in up to 0.065%, 0.070%, and 0.067% of a cumulative decline in the S&P 500, Dow Jones, and NASDAQ indices, respectively, after one day and up to 0.107%, 0.117%, and 0.109% of a cumulative decline after one week.

Lead investigator:

Behzod B. Ahundjanov

Affiliation:

Dickinson College

Primary topic:

Attitudes, media & governance

Secondary topic:

Recession & recovery

Region of data collection:

North America

Country of data collection

USA

Status of data collection

Complete

Type of data being collected:

Publicly available

Unit of real-time data collection

Firms

Start date

1/2020

End date

5/2020

Frequency

Daily