2023
DOI: 10.3390/jtaer18020058
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Fear of COVID-19 Effect on Stock Markets: A Proposal for an Algorithmic Trading System Based on Fear

Abstract: This study analyzes the fear of COVID-19 effect on European stock market returns. For this purpose, the search volumes (SV) collected by Google Trends (GT) and Wikipedia were used as proxies of fear of COVID-19. In a sample from 13 European stock markets, fear of COVID-19 was found to be associated with negative European stock returns. Our research employed this observation to propose an algorithmic trading system based on fear of COVID-19. Back-testing results show the possibility of extraordinary returns bas… Show more

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“…The transmission and manifestation of COVID-19 caused a significant amount of fatalities and had a major adverse effect on the global economy. This impact was particularly pronounced in stock markets, leading to adverse consequences [19][20][21][22][23].…”
Section: Literature Reviewmentioning
confidence: 99%
“…The transmission and manifestation of COVID-19 caused a significant amount of fatalities and had a major adverse effect on the global economy. This impact was particularly pronounced in stock markets, leading to adverse consequences [19][20][21][22][23].…”
Section: Literature Reviewmentioning
confidence: 99%