COVID-19 Information Consumption and Stock Market Return

This paper examines the impact of COVID-19 information attention on stock market return. We use Google search volume index to proxy investor information attention in respect to case, death, lockdown and vaccine. We uncover that information attention towards lockdown and vaccine positively affects investor sentiment, reflected through increase in stock market return. By contrast, we do not find significant impact of case information attention on stock market return. However, we uncover that COVID-19 death information attention is negatively associated with stork market return for only initial 90 days trading period. Our results are consistent to a battery of robustness tests. Our study contributes to the understanding of the relationship between investor information attention and asset pricing during economic uncertainty and particularly, during pandemic state