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What threatens stock markets more - The coronavirus or the hype around it?

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  • Nepp, Alexander
  • Okhrin, Ostap
  • Egorova, Julia
  • Dzhuraeva, Zarnigor
  • Zykov, Alexander

Abstract

We use a linear regularized model with structural changes and found that the coronavirus pandemic had a direct and an indirect effect (via media hype) on stock markets. We reveal a correlation between internet search queries, discussions of the pandemic in the press and social media, and changes in stock market indices. We demonstrated that the effect of the pandemic coverage in digital and printed media and the effect of Google queries was comparable to, and sometimes even exceeded, the effect of the pandemic itself. We showed the effect of hype on the volume of Google queries and social media publications.

Suggested Citation

  • Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
    • Handle: RePEc:eee:reveco:v:78:y:2022:i:c:p:519-539
    DOI: 10.1016/j.iref.2021.12.007
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    More about this item

    Keywords

    Covid-19; Hype; Social media; Stock indexes; LASSO;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • I1 - Health, Education, and Welfare - - Health

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