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Crash Fears and Stock Market Effects: Evidence From Web Searches and Printed News Articles

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  • Jussi Nikkinen
  • Jarkko Peltomäki

Abstract

The authors studied the complex relationship between information supply and demand using newspaper articles and web searches that reflect investors’ crash fears. They report that more web searches lead to more news, whereas more news does not have that effect on web search in the future. The authors show also that web searches have an immediate effect on stock market returns and the VIX implied volatility, whereas the effect of news articles lasts longer, up to 11 weeks. The results suggest collectively that the web searches related to market crashes lead both the printed news stories about market crashes.

Suggested Citation

  • Jussi Nikkinen & Jarkko Peltomäki, 2020. "Crash Fears and Stock Market Effects: Evidence From Web Searches and Printed News Articles," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(2), pages 117-127, April.
    • Handle: RePEc:taf:hbhfxx:v:21:y:2020:i:2:p:117-127
    DOI: 10.1080/15427560.2019.1630125
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    Cited by:

    1. Khyati Kathuria & Nand Kumar, 2022. "Pandemic‐induced fear and government policy response as a measure of uncertainty in the foreign exchange market: Evidence from (a)symmetric wild bootstrap likelihood ratio test," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 361-379, October.
    2. Papadamou, Stephanos & Fassas, Athanasios P. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2023. "Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    3. Sherif, Mohamed, 2020. "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    4. Albers, Stefan, 2023. "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, vol. 55(PA).

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