Investor Attention towards coronavirus and response of Stock and Sovereign Credit Default Swaps Markets

7 Pages Posted: 3 Sep 2020

See all articles by Hilal Anwar Butt

Hilal Anwar Butt

University of Karachi - Institute of Business Administration (IBA), Karachi

Falik Shear

National Textile University

Mohsin Sadaqat

National University of Sciences and Technology (NUST)

Date Written: June 26, 2020

Abstract

We use search queries with the word “CORONAVIRUS” in Google Trends as a proxy for investors’ attention and track its impact on the stock markets and sovereign risk. By using daily data of 41 countries for the period of January-June 2020, it is found that increased coronavirus related search is negatively linked with stock market returns and positively linked with country risk. Further, stock market returns are depressed, and sovereign risk is higher in developed countries than emerging countries in response to rising concern about the spread of COVID-19.

Keywords: Coronavirus, Search Queries, Stock Markets, Sovereign CDS

JEL Classification: G150, G120

Suggested Citation

Butt, Hilal Anwar and Shear, Falik and Sadaqat, Mohsin, Investor Attention towards coronavirus and response of Stock and Sovereign Credit Default Swaps Markets (June 26, 2020). Available at SSRN: https://ssrn.com/abstract=3655084 or http://dx.doi.org/10.2139/ssrn.3655084

Hilal Anwar Butt

University of Karachi - Institute of Business Administration (IBA), Karachi ( email )

University Road
Karachi, Sindh 75270
Pakistan

Falik Shear (Contact Author)

National Textile University ( email )

NTU sheikupura road faisalabad
Faisalabad
Pakistan

Mohsin Sadaqat

National University of Sciences and Technology (NUST) ( email )

Pakistan

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