Information Demand during the COVID-19 Pandemic
14 Pages Posted: 22 Sep 2020 Last revised: 8 Oct 2021
Date Written: September 21, 2020
We investigate the demand for financial information during the initial months of the COVID-19 pandemic. Using Google search data for individual stocks, we show that the Abnormal Search Volume Index declined significantly between March and June of 2020. We find a similar effect around earnings announcements dates, which confirms that the demand for financial information by retail investors declined during the pandemic. Our results are indicative of potentially important consequences for information diffusion, price discovery and market efficiency under extreme uncertainty. We discuss possible explanations for these results.
Keywords: Information Demand; Google Search; COVID-19
JEL Classification: M41; G01; G02; G14
Suggested Citation: Suggested Citation