Abstract
Information about COVID-19 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. 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.
| Original language | English |
|---|---|
| Article number | 101592 |
| Journal | Journal of International Financial Markets, Institutions and Money |
| Volume | 84 |
| Early online date | 27 May 2022 |
| DOIs | |
| Publication status | Published - 1 Apr 2023 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
-
SDG 3 Good Health and Well-being
Keywords
- COVID-19
- pandemic
- returns
- global stock markets
- elastic net regression
- machine learning
Fingerprint
Dive into the research topics of 'Which COVID-19 information really impacts stock markets?'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver