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Publication Detail
BSP WPS 2020-07: Revealing investors’ sentiment amid COVID-19: the Big Data evidence based on internet searches

As the global economy grounded to a screeching halt during the wake of the coronavirus outbreak, the seemingly odd response of stock markets has raised both concerns and questions. Whether the dynamics in the behaviour of stock market is driven by the oscillation between the market fundamentals and investors’ attitude in the face of pandemic is an open question that needs to be answered and tested. Using random effects panel regression model and pandemic-related daily internet search keywords to construct the Covid-19 Risk Attitude (CRA) index, this study finds that select Asian stock markets are not sensitive to the (negative) impact of the epidemic as most of these countries were prompt in containing the spread of the virus. This claim is supported by the positive effect of government response stringency index to Asian stock prices. Taking into account the heterogeneity in the responses of the markets under study, this paper argues that stock markets in high and upper-middle income Asian countries are not negatively affected by investors’ sentiment towards pandemic-related risks.

Bangko Sentral ng Pilipinas
Authors Keywords
Armas, Jean Christine, A.; Tuazon, Pamela Kaye, A.; Big Data; stock market; government policy; regulation and public health; panel data models; investor attitude;
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Published in 2020 and available for Downloaded 0 times since July 08, 2021
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