The discovery and sudden spread of the novel coronavirus (COVID-19) exposed individuals to a great uncertainty about the potential health and economic ramifications of the virus, which triggered a surge in demand for information about COVID-19. To understand financial market implications of individuals’ behavior upon such uncertainty, we explore the relationship between Google search queries related to COVID-19—information search that reflects one’s level of concern or risk perception—and the performance of major financial indices. The empirical analysis based on the Bayesian inference of a structural vector autoregressive model shows that one unit increase in the popularity of COVID-19-related global search queries, after controlling for COVID-19 cases, results in 0.038 – 0.069 % of a cumulative decline in global financial indices after one day and 0.054 – 0.150 % of a cumulative decline after one week.
【저자키워드】 COVID-19, Google Trends, information, Risk perception, Financial markets, SVAR, 【초록키워드】 risk, virus, Novel coronavirus, Spread, Health, Bayesian inference, Analysis, COVID-19 cases, Google, individual, cumulative, implication, increase in, triggered, reflect,