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Effects of investor sentiment and country governance on unexpected conditional volatility during the COVID-19 pandemic: Evidence from global stock markets

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  • Hsu, Yu-Lin
  • Tang, Leilei

Abstract

This paper first investigates the relationship between investor sentiment, captured by internet search behaviour, and the unexpected component of stock market volatility during the COVID-19 pandemic. According to data on 12 major stock markets, our research indicates a positive correlation between the Google search volume index on COVID-19 and the unexpected volatility of stock markets. The result suggests that greater COVID-19-related investor sentiment during this pandemic is associated with higher stock market uncertainty.

Suggested Citation

  • Hsu, Yu-Lin & Tang, Leilei, 2022. "Effects of investor sentiment and country governance on unexpected conditional volatility during the COVID-19 pandemic: Evidence from global stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001478
    DOI: 10.1016/j.irfa.2022.102186
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    2. Ștefan Cristian Gherghina, 2023. "The Impact of COVID-19 on Financial Markets and the Real Economy," Economies, MDPI, vol. 11(4), pages 1-5, March.

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    More about this item

    Keywords

    COVID-19; Country governance; Investor protection; Investor sentiment; Volatility;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G1 - Financial Economics - - General Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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