Title

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.

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

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Jun 24th, 2:40 PM Jun 24th, 3:00 PM

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.