Fear of the coronavirus and the stock markets

Abstract

Since the outbreak of the COVID-19 pandemic, stock markets around the world have experienced unprecedented declines amid high uncertainty. In this paper, we use Google search volume activity as a gauge of panic and fear. The chosen search terms are specific to the coronavirus crisis and correspond to phrases related to nonpharmaceutical intervention policies to fight physical contagion. We show that during this period, fear of the coronavirus - manifested as excess search volume - represents a timely and valuable data source for forecasting stock price variation around the world.