Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis

Abrigo, M. R., & Love, I. (2016). Estimation of panel vector autoregression in Stata. The Stata Journal, 16(3), 778-804.

Afkhami, M., Cormack, L., & Ghoddusi, H. (2017). Google search keywords that best predict energy price volatility. Energy Economics, 67, 17-27.

Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (No. w26950). National Bureau of Economic Research.

Andrei D., & Hasler, M. (2015). Investor Attention and Stock Market Volatility. The Review of Financial Studies, 28(1), 33-72

Atkeson, Andrew, 2020. What will be the economic impact of COVID-19 in the U.S.? Rough estimates of disease scenarios. NBER Working Paper, w26867.

Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020b). Covid-induced economic uncertainty (No. w26983). National Bureau of Economic Research.

Baker, S. R., Farrokhnia, R. A., Meyer, S., Pagel, M., & Yannelis, C. (2020a). How does household spending respond to an epidemic? consumption during the 2020 covid-19 pandemic (No. w26949). National Bureau of Economic Research.

Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-152.

Baldwin, R. and B. Weder di Mauro (2020). Economics in the Time of COVID-19 (CEPR Press VoxEU.org).

Barber, B.M., & T. Odean (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), pp. 785-818

Bekaert, G., Engstrom, E. C., & Xu, N. R. (2019). The time variation in risk appetite and uncertainty (No. w25673). National Bureau of Economic Research.

Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13(1), 1-42.

Beck, N., & Katz, J. N. (1995). What to do (and not to do) with time-series cross-section data. American Political Science Review, 89(3), 634-647.

Bijl, L., Kringhaug, G., Molnár, P., & Sandvik, E. (2016). Google searches and stock returns. International Review of Financial Analysis, 45, 150-156.

Bollerslev, T., Litvinova, J., & Tauchen, G. (2006). Leverage and volatility feedback effects in high frequency data. Journal of Financial Econometrics, 4(3), 353-384.

Carrière-Swallow, Y., & Labbé, F. (2013). Nowcasting with Google Trends in an emerging market. Journal of Forecasting, 32(4), 289-298.

Chen, H. Y., & Lo, T. C. (2019). Online search activities and investor attention on financial markets. Asia Pacific Management Review, 24(1), 21-26.

Choi, H., & Varian, H. (2012). Predicting the present with Google Trends. Economic Record, 88, 2-9.

Corbet, S., Hou, Y. G., Hu, Y., Lucey, B., & Oxley, L. (2020a). Aye Corona! The Contagion Effects of Being Named Corona during the COVID-19 Pandemic (March 26, 2020). Available at SSRN 3561866.

Corbet, S., Larkin, C. J., & Lucey, B. M. (2020b). The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies. Available at SSRN 3564443.

Chronopoulos, D. K., Papadimitriou, F. I., & Vlastakis, N. (2018). Information demand and stock return predictability. Journal of International Money and Finance, 80, 59-74.

Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499.

Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1-32.

Delis, M. D., Hasan, I., & Mylonidis, N. (2017). The risk-taking channel of monetary policy in the US: Evidence from corporate loan data. Journal of Money, Credit and Banking, 49(1), 187-213.

Dergiades, T., Milas, C., & Panagiotidis, T. (2015). Tweets, Google trends, and sovereign spreads in the GIIPS. Oxford Economic Papers, 67(2), 406-432.

Dimpfl, T., & Jank, S. (2016). Can internet search queries help to predict stock market volatility? European Financial Management, 22(2), 171-192.

Dimpfl, T., & Kleiman, V. (2019). Investor pessimism and the German stock market: Exploring Google search queries. German Economic Review, 20(1), 1-28.

Ding, R., & Hou, W. (2015). Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, 37, 12-26.

Drake, M. S., Roulstone, D. T., & Thornock, J. R. (2012). Investor information demand: Evidence from Google searches around earnings announcements. Journal of Accounting Research, 50(4), 1001-1040.

Duan, H., Wang, S., & Yang, C. (2020). Coronavirus: limit short-term economic damage. Nature, 578(7796), 515.

Dzielinski, Michal (2012). Measuring economic uncertainty and its impact on the stock market. Finance Research Letters, 9(3):167-175

Eckstein, Z., & Tsiddon, D. (2004). Macroeconomic consequences of terror: theory and the case of Israel. Journal of Monetary Economics, 51(5), 971-1002.

Eichenbaum, M. S., Rebelo, S., & Trabandt, M. (2020). The macroeconomics of epidemics (No. w26882). National Bureau of Economic Research.

Fassas, A. P., & Papadamou, S. (2018). Unconventional monetary policy announcements and risk aversion: evidence from the US and European equity markets. The European Journal of Finance, 24(18), 1885-1901.

Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302.

Fernandes, M., Medeiros, M. C., & Scharth, M. (2014). Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance, 40, 1-10.

French, K. R., Schwert, G., & Stambaugh, R. F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19 (1), 3-29

Ginsberg, J., Mohebbi, M. H., Patel, R. S., Brammer, L., Smolinski, M. S., & Brilliant, L. (2009). Detecting influenza epidemics using search engine query data. Nature, 457(7232), 1012-1014.

Gormsen, N. J., & Koijen, R. S. (2020). Coronavirus: Impact on stock prices and growth expectations. University of Chicago, Becker Friedman Institute for Economics Working Paper (2020-22).

Goddard, J., Kita, A., & Wang, Q. (2015). Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money, 38, 79-96.

Graham, M., Nikkinen, J., & Peltomäki, J. (2019). Web Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective. Journal of Emerging Market Finance, 0972652719877473.

Hamid, A., & Heiden, M. (2015). Forecasting volatility with empirical similarity and Google trends. Journal of Economic Behavior & Organization, 117, 62-81.

Hibbert, A. M., Daigler, R. T., & Dupoyet, B. (2008). A behavioral explanation for the negative asymmetric return–volatility relation. Journal of Banking & Finance, 32(10), 2254-2266.

Irresberger, F., Mühlnickel, J., & Weiß, G. N. (2015). Explaining bank stock performance with crisis sentiment. Journal of Banking & Finance, 59, 311-329.

Joseph, K., Wintoki, M. B., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116-1127.

Kalev, P. S., Liu, W. M., Pham, P. K., & Jarnecic, E. (2004). Public information arrival and volatility of intraday stock returns. Journal of Banking & Finance, 28(6), 1441-1467.

Kim, N., Lučivjanská, K., Molnár, P., & Villa, R. (2019). Google searches and stock market activity: Evidence from Norway. Finance Research Letters, 28, 208-220.

Kollias, C., Papadamou, S., & Arvanitis, V. (2013). Does Terrorism Affect the Stock-Bond Covariance? Evidence from European Countries. Southern Economic Journal, 79(4), 832-848.

Kristoufek, L. (2013). Can Google Trends search queries contribute to risk diversification?. Scientific Reports, 3, 2713.

Liu, Y., Peng, G., Hu, L., Dong, J., & Zhang, Q. (2019). Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices. Industrial Management & Data Systems, 120(2), 350-365.

Metaxas, P. T., & Mustafaraj, E. (2012). Social media and the elections. Science, 338(6106), 472-473.

Mondria, J., Wu, T., & Zhang, Y. (2010). The determinants of international investment and attention allocation: Using internet search query data. Journal of International Economics, 82(1), 85-95.

Nikkinen, J., & Peltomäki, J. (2020). Crash Fears and Stock Market Effects: Evidence From Web Searches and Printed News Articles. Journal of Behavioral Finance, 21(2), 117-127.

Philippas, D., Rjiba, H., Guesmi, K., & Goutte, S. (2019). Media attention and Bitcoin prices. Finance Research Letters, 30, 37-43.

Polgreen, P. M., Chen, Y., Pennock, D. M., Nelson, F. D., & Weinstein, R. A. (2008). Using internet searches for influenza surveillance. Clinical infectious diseases, 47(11), 1443-1448.

Preis, T., Moat, H. S., & Stanley, H. E. (2013). Quantifying trading behavior in financial markets using Google Trends. Scientific Reports, 3, 1684.

Preis, T., Reith, D., & Stanley, H. E. (2010). Complex dynamics of our economic life on different scales: insights from search engine query data. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, 368(1933), 5707-5719.

Ramelli, S., & Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19. Swiss Finance Institute Research Paper, (20-12).

Ruan, X., & Zhang, J. E. (2016). Investor attention and market microstructure. Economics Letters, 149, 125-130.

Smith, G. P. (2012). Google Internet search activity and volatility prediction in the market for foreign currency. Finance Research Letters, 9(2), 103-110.

Vlastakis, N., & Markellos, R. N. (2012). Information demand and stock market volatility. Journal of Banking & Finance 36(6), 1808–1821.

Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 41, 17-35.

Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.

Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: The MIT Press.

Yung, K., & Nafar, N. (2017). Investor attention and the expected returns of reits. International Review of Economics & Finance, 48, 423-439.

Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528.