Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets

The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements

“…Although the empirical research question remains focused on COVID-19 and stock market behavior, the approach to measuring COVID-19's impact varies considerably. For example, existing literature documents operationalization of Global COVID-19 fear index ( Al-Awadhi et al, 2020 , Mazumder and Saha, 2021 ; Salisu et al, 2020a; Salisu and Akanni, 2020 , Rubbaniy et al, 2021 , Zhang et al, 2021 ) measured from the daily death and confirmed cases, Feverish sentiment ( Huynh et al, 2021 ), pandemic anxiety indexes ( Yu et al, 2021 ), the COVID19+positive sentiment index ( Anastasiou et al, 2022 ), Equity Market Volatility Infectious Disease Tracker (EMV) ( Al Rababa'a et al, 2021 , Bai et al, 2021 , Baker et al, 2020 , Bouri et al, 2021 ; Salisu et al, 2020b), Pandemic intensity information search ( Goel and Dash, 2021 ), Coronavirus-related news (Biktimirov et al, 2020; Sun et al, 2021 ), COVID-19 Twitter intensity ( Al Guindy, 2021 ), investor attention or pandemic attention through GSVI ( Costola et al, 2021 , Smales, 2021 , Smales, 2020 , Tripathi and Pandey, 2021 , Xu et al, 2021 ), and pandemic-induced fear sentiment or pandemic uncertainty ( Chen et al, 2020 , Chundakkadan and Nedumparambil, 2021 , Liu et al, 2021 , Lyócsa et al, 2020 , Paule-Vianez et al, 2021 , Su et al, 2021 , Subramaniam and Chakraborty, 2021 , Szczygielski et al, 2022 ; Vasileiou, 2021). Table 1 presents a brief overview of recent literature and its findings.…”

“…The second important aspect is the lack of sufficient empirical evidence on the COVID-19 impact on aggregate stock market behavior, i.e., stock return, volatility, and market il(liquidity). Existing research majorly focuses on the stock return, and volatility aspects ( Anastasiou et al, 2022 ; Costola et al, 2020; Su et al, 2021 , Tripathi and Pandey, 2021 ; Vasileiou, 2021; Wang et al, 2021 , Zaremba et al, 2020 among others) and the implication of market liquidity has largely been ignored. Moreover, available literature fails to control the effect of prevailing exogeneous market sentiment while analyzing the impact of COVID-19 pandemic uncertainty on stock market activity.…”

Analisis Sentimen Investor terhadap kinerja saham syariah di Indonesia selama masa pandemi Covid-19

“…Mereka menemukan bukti bahwa Indeks Volume Google Penelusuran berkorelasi dengan pengembalian saham. Anastasiou et al, (2022) menggunakan intensitas pencarian Google untuk istilah "Drachma" dan menunjukkan bahwa intensitas pencarian Google yang lebih tinggi menyebabkan lebih banyak penarikan deposito. Selain itu, data Google Trend juga telah berhasil digunakan untuk tujuan surveilans penyakit untuk MERS (Shin et al, 2016), cacar air (Bakker et al, 2016), flu (Yang et al, 2015, dan krisis keuangan (Irresberger et al, 2015).…”

Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets

“…They found that investor sentiments in 17 countries showed a strong correlation, and the feverish sentiment index can positively predict the stock volatility of several countries. Recently, Anastasiou et al ( 2022 ) constructed a novel positive search volume index for COVID-19 (COVID19 +) and found that the rise of COVID-19 + could reduce investors’ crisis sentiment and ease stock market volatility. Therefore, because of the COVID-19 outbreak, our study divides the sample into pre-and post-pandemic subsamples and examines whether there are any differences in the impacts of the two investor sentiment proxies on volatilities in different periods.…”