Information Demand during the COVID-19 Pandemic

14 Pages Posted: 22 Sep 2020 Last revised: 8 Oct 2021

See all articles by Hang Dong

Hang Dong

IE University

Javier Gil-Bazo

Universitat Pompeu Fabra; Barcelona School of Economics

Raluca Ratiu

IE University

Date Written: September 21, 2020

Abstract

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

Dong, Hang and Gil-Bazo, Javier and Ratiu, Raluca, Information Demand during the COVID-19 Pandemic (September 21, 2020). Journal of Accounting and Public Policy, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3696334 or http://dx.doi.org/10.2139/ssrn.3696334

Hang Dong (Contact Author)

IE University ( email )

Castellón de la Plana 8
Madrid, 28006
Spain

Javier Gil-Bazo

Universitat Pompeu Fabra ( email )

Ramon Trias Fargas, 25-27
Barcelona, 08005
Spain

Barcelona School of Economics ( email )

Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain

Raluca Ratiu

IE University ( email )

Castellón de la Plana 8
Madrid, 28006
Spain

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