Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets.

Autor: Anastasiou D; Economic Research Division, Alpha Bank, Athens, Greece.; Aston Business School, Aston University, United Kingdom., Ballis A; Aston Business School, Aston University, United Kingdom., Drakos K; Athens University of Economics and Business, Greece.
Jazyk: angličtina
Zdroj: International review of financial analysis [Int Rev Financ Anal] 2022 May; Vol. 81, pp. 102111. Date of Electronic Publication: 2022 Mar 11.
DOI: 10.1016/j.irfa.2022.102111
Abstrakt: The present study investigates the degree of market responses through the scope of investors' sentiment during the COVID-19 pandemic across G20 markets by constructing a novel positive search volume index for COVID-19 (COVID19 + ). Our key findings, obtained using a Panel-GARCH model, indicate that an increased COVID19 + index suggests that investors decrease their COVID-19 related crisis sentiment by escalating their Google searches for positively associated COVID-19 related keywords. Specifically, we explore the predictive power of the newly constructed index on stock returns and volatility. According to our findings, investor sentiment positively (negatively) predicts the stock return (volatility) during the COVID-19. This is the first study assessing global sentiment by proposing a novel proxy and its impacts on the G20 equity market.
Competing Interests: No conflict of interest exits in the submission of this manuscript, and this manuscript is approved by all authors for publication.
(© 2022 Elsevier Inc. All rights reserved.)
Databáze: MEDLINE
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