Public Concern and the Financial Markets during the COVID-19 outbreak

10 Pages Posted: 3 May 2020 Last revised: 6 May 2020

See all articles by Michele Costola

Michele Costola

Ca' Foscari University of Venice

Matteo Iacopini

VU University Amsterdam - Department of Econometrics

Carlo Santagiustina

Ca'Foscari University of Venice - Department of Economics; Venice International University

Date Written: May 2, 2020

Abstract

We measure the public concern during the outbreak of COVID-19 disease using three data sources from Google Trends (YouTube, Google News, and Google Search). Our findings are three-fold. First, the public concern in Italy is found to be a driver of the concerns in other countries. Second, we document that Google Trends data for Italy better explains the stock index returns of France, Germany, Great Britain, the United States, and Spain with respect to their country-based indicators. Finally, we perform a time-varying analysis and identify that the most severe impacts in the financial markets occur at each step of the Italian lock-down process.

Keywords: COVID-19, Coronavirus, Social Media data, Google Trends, Financial markets

JEL Classification: G50, C22, C58

Suggested Citation

Costola, Michele and Iacopini, Matteo and Santagiustina, Carlo Romano Marcello Alessandro, Public Concern and the Financial Markets during the COVID-19 outbreak (May 2, 2020). Available at SSRN: https://ssrn.com/abstract=3591193 or http://dx.doi.org/10.2139/ssrn.3591193

Michele Costola

Ca' Foscari University of Venice ( email )

Cannaregio 873
Venice, 30121
Italy

Matteo Iacopini (Contact Author)

VU University Amsterdam - Department of Econometrics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Carlo Romano Marcello Alessandro Santagiustina

Ca'Foscari University of Venice - Department of Economics ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/data/persone/11229706

Venice International University ( email )

Isola di San Servolo
Venice
Italy

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