Jakub Szczygielski, Jan, Charteris, Ailie, Bwanya, Princess and Brzeszczyński, Janusz (2023) Which COVID-19 information really impacts stock markets? Journal of International Financial Markets Institutions & Money, 84. p. 101592. ISSN 1042-4431
|
Text
Which COVID information really impacts stock markets.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1MB) | Preview |
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: | 27 May 2023 03:30 |
| URI: | https://nrl.northumbria.ac.uk/id/eprint/49672 |
Actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
