Abstract

This paper examines the causal relationship between global stock market performance and Google search volume index (SVI) surrounding the disastrous event of the coronavirus (COVID-19) outbreak. Based on 6,106 stock index-day observations of 71 countries during the period from 1 January 2020 to 29 May 2020, we find that both the SVI and the growth in confirmed cases lower the global stock market returns. Consistent with the information discovery theory, we find when the confirmed cases increase, retail investors search for more information, improving their returns on stock indices during the outbreak. Finally, our further instrumental-variable analysis shows that our results are unlikely confounded by endogeneity.

摘要

本文研究了全球股市表现与围绕冠状病毒 (COVID-19) 爆发灾难性事件的谷歌搜索量指数 (SVI) 之间的因果关系。根据 2020 年 1 月 1 日至 2020 年 5 月 29 日期间对 71 个国家/地区的 6,106 个股票指数日观察，我们发现 SVI 和确诊病例的增长都降低了全球股市回报。与信息发现理论一致，我们发现当确诊病例增加时，散户会搜索更多信息，从而提高疫情期间股票指数的回报。最后，我们进一步的工具变量分析表明，我们的结果不太可能被内生性混淆。