Fear of the coronavirus and the stock markets

Štefan Lyócsa; Eduard Baumöhl; Tomáš Výrost; Peter Molnár

doi:10.1016/j.frl.2020.101735

Fear of the coronavirus and the stock markets

Financ Res Lett. 2020 Oct:36:101735. doi: 10.1016/j.frl.2020.101735. Epub 2020 Aug 26.

Authors

Štefan Lyócsa^{1

2

3}, Eduard Baumöhl^{4

5}, Tomáš Výrost^{4

5}, Peter Molnár^{2

6

7}

Affiliations

¹ Faculty of Management, University of Presov, Presov 080 01, Slovakia.
² Department of Finance and Accounting, University of Economics, Prague 13067, Czech Republic.
³ Institute of Economic Research, Slovak Academy of Sciences, Bratislava 811 05, Slovakia.
⁴ Faculty of Commerce, University of Economics in Bratislava, Bratislava 852 35, Slovakia.
⁵ Institute of Financial Complex Systems, Masaryk University, Brno 602 00, Czech Republic.
⁶ UiS Business School, University of Stavanger, Stavanger 4036, Norway.
⁷ Faculty of Economic Sciences and Management, Nicolaus Copernicus University, 87-100 Toru, Poland.

Abstract

Since the outbreak of the COVID-19 pandemic, stock markets around the world have experienced unprecedented declines amid high uncertainty. In this paper, we use Google search volume activity as a gauge of panic and fear. The chosen search terms are specific to the coronavirus crisis and correspond to phrases related to nonpharmaceutical intervention policies to fight physical contagion. We show that during this period, fear of the coronavirus - manifested as excess search volume - represents a timely and valuable data source for forecasting stock price variation around the world.

Keywords: Coronavirus; Google Trends; Panic; Stock market; Uncertainty.