Purpose

The purpose of this paper is to capture the investors' mood related to the COVID-19 pandemic and analyze its impact on the stock market returns.

Design/methodology/approach

To capture the investor mood related to the COVID-19 pandemic, the authors construct a unique COVID-19 fear index based on the Search Volume Index (SVI) from Google Trends (http://www.Google.com/trends/) of the search terms related to COVID-19 words and phrases as revealed by Google and Internet dictionaries. The COVID-19 fear index was used to investigate its impact on the stock market returns.

Findings

The study finds a strong negative association between COVID-19 fear and stock returns. Unlike other studies, the relationship is persistent for a significant period. This relationship is not found to reverse in the following days. The results also highlight that COVID-19 fear strongly impacts the stock market. The sentiment persists for a significant period and is not reversed soon, unlike the regular times in earlier studies.

Originality/value

The study is among the very few studies that constructed COVID-19 fear index using several Google search terms and captured its impact on the stock market returns.

中文翻译：

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COVID-19恐惧指数：对股市收益有影响吗？

目的

本文的目的是捕捉与COVID-19大流行相关的投资者情绪，并分析其对股市收益的影响。

设计/方法/方法

为了捕捉与COVID-19大流行相关的投资者情绪，作者基于来自Google趋势（http://www.Google.com/trends/）的搜索量指数（SVI）构建了一个独特的COVID-19恐惧指数。 Google和Internet词典显示的与COVID-19单词和短语相关的搜索词。COVID-19恐惧指数用于调查其对股市收益的影响。

发现

研究发现，COVID-19恐惧与股票收益之间存在强烈的负相关关系。与其他研究不同，这种关系在相当长的一段时间内都是持久的。此关系在接下来的几天中没有被逆转。结果还突出表明，COVID-19的担忧严重影响了股市。与早期研究中的正常时间不同，这种情绪持续了相当长的一段时间，并没有很快逆转。

创意/价值

该研究是极少数使用几个Google搜索词构建COVID-19恐惧指数并捕获其对股市收益影响的研究之一。