Which COVID-19 information really impacts stock markets?

Szczygielski, Jan Jakub; Charteris, Ailie; Bwanya, Princess Rutendo; Brzeszczyński, Janusz

Abstract

Information about the COVID-19 pandemic 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 during the height of the COVID-19 crisis. 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.

Citation

Szczygielski, J. J., Charteris, A., Bwanya, P. R., & Brzeszczyński, J. (2023). Which COVID-19 information really impacts stock markets?. Journal of International Financial Markets, Institutions and Money, 84, Article 101592. https://doi.org/10.1016/j.intfin.2022.101592

• Journal Article Type: Article
• Acceptance Date: May 23, 2022
• Online Publication Date: May 27, 2022
• Publication Date: 2023-04
• Deposit Date: Mar 31, 2025
• Journal: Journal of International Financial Markets, Institutions and Money
• Print ISSN: 1042-4431
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 84
• Article Number: 101592
• DOI: https://doi.org/10.1016/j.intfin.2022.101592
• Public URL: http://researchrepository.napier.ac.uk/Output/4192923