On the Construction of a Positive Sentiment Index for COVID-19: Evidence from G20 Stock Markets

38 Pages Posted: 20 Aug 2021

See all articles by Dimitrios Anastasiou

Dimitrios Anastasiou

Alpha Bank; Athens University of Economics and Business, School of Business, Department of Accounting and Finance

Antonis Ballis

Aston Business School, Aston University

Konstantinos Drakos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: July 29, 2021

Abstract

The present study investigates the degree of market responses through the scope of investors’ sentiment during the COVID-19 pandemic across G20 markets, by constructing a novel positive search volume index for COVID-19 (COVID19+). Our key findings, obtained using a Panel-GARCH model, indicate that an increased COVID19+ index suggests that investors decrease their COVID-19 related crisis sentiment by escalating their Google searches for positively associated COVID-19 related keywords. Specifically, we explore the predictive power of the newly constructed index on stock returns and volatility. According to our findings, investor sentiment positively (negatively) predicts the stock return (volatility) during the COVID-19. This is the first study of its kind assessing global sentiment by proposing a novel proxy and its impacts on the G20 equity market.

Keywords: COVID-19, Sentiment, G20, Stock Markets

JEL Classification: G02, G10, G15, G41

Suggested Citation

Anastasiou, Dimitrios and Ballis, Antonis and Drakos, Konstantinos, On the Construction of a Positive Sentiment Index for COVID-19: Evidence from G20 Stock Markets (July 29, 2021). Available at SSRN: https://ssrn.com/abstract=3895548 or http://dx.doi.org/10.2139/ssrn.3895548

Dimitrios Anastasiou (Contact Author)

Alpha Bank ( email )

Athens, 16561
Greece

Athens University of Economics and Business, School of Business, Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

Antonis Ballis

Aston Business School, Aston University ( email )

United Kingdom

Konstantinos Drakos

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

Do you want regular updates from SSRN on Twitter?

Paper statistics

Downloads
74
Abstract Views
378
rank
425,591
PlumX Metrics