Investor attention towards coronavirus and response of stock and sovereign credit default swaps markets
Abstract/Description
We use search queries with the word “CORONAVIRUS” in Google 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 then emerging countries in response to rising concern about the spread of COVID-19.
Keywords
Track
Accounting, Law, and Finance
Session Number/Theme
Session 3A
Session Chair
Dr. Riffat Mughal, Shaheed Zulfikar Ali Bhutto Institute of Science & Technology (SZABIST)
Session Discussant
Dr. Hilal Anwar Butt; Dr. Mohsin Sadaqat
Start Date/Time
24-6-2022 2:40 PM
End Date/Time
24-6-2022 3:00 PM
Location
Crystal Ball Room, Marriott Hotel, Karachi
Recommended Citation
Sadaqat, M., Butt, H. A., & Shear, F. (2022). Investor attention towards coronavirus and response of stock and sovereign credit default swaps markets. 3rd IBA SBS International Conference 2024. Retrieved from https://ir.iba.edu.pk/sbsic/2022/program/38
COinS
Investor attention towards coronavirus and response of stock and sovereign credit default swaps markets
Crystal Ball Room, Marriott Hotel, Karachi
We use search queries with the word “CORONAVIRUS” in Google 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 then emerging countries in response to rising concern about the spread of COVID-19.
