Investor Attention and Global Market Returns during the COVID-19 Crisis

33 Pages Posted: 2 Jul 2020 Last revised: 26 Oct 2020

See all articles by Lee A. Smales

Lee A. Smales

University of Western Australia

Date Written: June 8, 2020


The financial market response to the COVID-19 pandemic provides the first example of a market crash instigated by a health crisis. The crisis provides a unique setting in which to examine the market response to changes in investor attention. We utilise Google search volume (GSV) as a proxy for investor attention. GSV for the “coronavirus” keyword increases substantially from late-February and peaks in mid-March before declining substantially. Our results are broadly consistent with Da et al. (2015), indicating that GSV is primarily a proxy for the attention of retail investors and confirming that investor attention negatively influences global stock returns. A rise in the number of internet searches during the COVID-19 crisis induces a faster rate of information flow into financial markets and so is also associated with higher volatility. The identified relationships are economically and statistically significant even after controlling for the number of new COVID-19 cases and various macroeconomic effects. Increases in GSV have less impact on government bond yields, with Italian yields rising with investor attention. The more limited role of GSV is likely due to lower participation of retail investors in bond markets. The results suggest that, rather than searching for information on potential stocks to buy (Barber and Odean, 2008), retail investors are searching for information to resolve uncertainty about household FEARS (Da et al., 2015) during the COVID-19 crisis.

Keywords: Investor Attention, Stock Market Returns, Google Search Volume, COVID-19, Coronavirus

JEL Classification: G10, G14, G15

Suggested Citation

Smales, Lee A., Investor Attention and Global Market Returns during the COVID-19 Crisis (June 8, 2020). International Review of Financial Analysis, Forthcoming, Available at SSRN: or

Lee A. Smales (Contact Author)

University of Western Australia ( email )

UWA Business School
35 Stirling Highway
Perth, Western Australia 6009

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