Investor Attention and Global Stock Market Volatility: Evidence from COVID-19

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-02-08 DOI:10.1177/09726527221148579

Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna

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引用次数: 2

Abstract

This paper utilizes intraday five-minute stock market indices to investigate the causal relation between global stock market volatility and investor attention measured by the Google search volume index during the COVID-19 pandemic. Using the bi-power variation method proposed by Barndorff-Nielsen and Shephard (2004), we separate the realized volatility into two components: Continuous and Jump. Based on 5,583 stock indices-day observations, we find that investor attention is positively related to the realized volatility and its continuous component, but to a lesser extent to jumps. A growth in confirmed cases is positive to all measures of market volatility. Moreover, when the number of confirmed cases increases, more attentive investors reduce market volatility. Our findings are robust regarding various estimation approaches and are less likely to suffer from omitted variable biases and endogeneity concerns. Understanding the findings revealed in this paper is crucial to regulators and policymakers as warnings of additional risks facing retail investors around the globe over the extremely volatile periods. JEL Codes: G14; G15; G40; G41

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投资者关注与全球股市波动:来自COVID-19的证据

本文利用盘中五分钟股市指数，研究新冠肺炎疫情期间全球股市波动与谷歌搜索量指数衡量的投资者注意力之间的因果关系。利用Barndorf-Nielsen和Shephard（2004）提出的双幂变分方法，我们将已实现的波动性分为两个部分：连续和跳跃。基于5583个股指日的观察，我们发现投资者的注意力与已实现的波动率及其连续成分呈正相关，但与跳跃的关系较小。确诊病例的增长对衡量市场波动性的所有指标都是积极的。此外，当确诊病例数量增加时，更加关注的投资者会减少市场波动。我们的研究结果在各种估计方法方面都是稳健的，不太可能受到遗漏变量偏差和内生性问题的影响。了解本文中揭示的发现对监管机构和政策制定者至关重要，因为这是对全球散户投资者在极端动荡时期面临额外风险的警告。JEL代码：G14；G15；G40；G41

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.