Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure.

This paper investigates the relationship between investors' attention, as measured by Google search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies show that search investors' behavior data is an extremely abundant repository of predictive data, and investor-limited attention increases when the uncertainty level is high. Our study using data from thirteen countries across the globe during the first wave of the COVID-19 pandemic (January-April 2020) examines whether the search "topic and terms" for the pandemic affect market participants' expectations about future realized volatility.

The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19.

This research investigates the effects of several measures of Twitter-based sentiment on cryptocurrencies during the COVID-19 pandemic. Innovative economic, as well as market uncertainty measures based on Tweets, along the lines of Baker et al. (2021), are employed in an attempt to measure how investor sentiment influences the returns and volatility of major cryptocurrencies, developing on non-linear Granger causality tests.

Flight-to-quality between global stock and bond markets in the COVID era.

We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specification and a wavelet analysis. Our empirical results demonstrate that flights occur simultaneously across countries and are not country-specific events.