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Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns

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  • Yu, Xiaoling
  • Xiao, Kaitian
  • Liu, Junping

Abstract

In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock markets in the BRICS and G7 countries. We found that the anxiety indexes are volatile over time but have an overall downtown trend. The correlations between stock market returns and the epidemic anxiety indexes are time varying. We found a common feature across the countries studied, namely that the correlation becomes weaker and has smaller fluctuations after the announcement of the mRNA-based COVID-19 vaccine.

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  • Yu, Xiaoling & Xiao, Kaitian & Liu, Junping, 2022. "Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100283x
    DOI: 10.1016/j.frl.2021.102219
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    References listed on IDEAS

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    Cited by:

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    2. Yu, Xiaoling & Xiao, Kaitian, 2023. "COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    3. Zou, Chen & Huang, Yongchun & Ye, Zi & Pan, Anqi, 2023. "The effect of major public emergencies on technology-based SMEs: Survival crisis and relief paths," Finance Research Letters, Elsevier, vol. 55(PA).
    4. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).

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