Which COVID-19 information really impacts stock markets?

Jakub Szczygielski, Jan, Charteris, Ailie, Bwanya, Princess and Brzeszczyński, Janusz (2022) Which COVID-19 information really impacts stock markets? Journal of International Financial Markets Institutions & Money. p. 101592. ISSN 1042-4431 (In Press)

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Official URL: https://doi.org/10.1016/j.intfin.2022.101592

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.

Item Type: Article
Uncontrolled Keywords: COVID-19, pandemic, returns, global stock markets, elastic net regression, machine learning
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: John Coen
Date Deposited: 02 Aug 2022 09:18
Last Modified: 02 Aug 2022 09:30
URI: http://nrl.northumbria.ac.uk/id/eprint/49672

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