Information search and financial market performance under pandemic: evidence from Covid-19

The discovery, and subsequent spread, of the novel coronavirus (Covid-19) exposed both individuals and investors to a grave uncertainty about the potential health and economic ramifications of the virus, particularly in the early days and weeks of the now full-blown pandemic. To understand the financial market implications of individuals’ behavior upon such uncertainty, we explore the relationship between Google search queries related to the coronavirus—a critical element guiding individuals’ subsequent decisions, including financial- –and the performance of major financial indices. Our preliminary empirical analysis, using daily data between January 22, 2020 and May 4, 2020, in conjunction with a structural vector autoregressive model, shows that one unit increase in global search interest of Covid-19 results in up to 0.065%, 0.070%, and 0.067% of a cumulative decline in the S&P 500, Dow Jones, and NASDAQ indices, respectively, after one day and up to 0.107%, 0.117%, and 0.109% of a cumulative decline after one week.