The Impact Of Increasing Investors' COVID - 19 Attention On Stock Market Return And Moderating Effect Of National Culture: International Evidence

Abstract

Newer works of literature indicates that the global stock markets were significantly affected by the Covid-19 pandemic; however, the extent of this impact varied across different countries. In my study, I endeavors to explore the relationship between the growing attention of investors towards COVID-19 and its effects on stock market returns. Additionally, this study aims to examine how national culture acts as a moderating factor in this connection. The sample used in this study consists of secondary data from 34 countries which include 24 developed countries and 10 developing countries from January 23, 2020 to January 23, 2022. The study employed panel data and Google Search Volume as an indicator of investors' interest in Covid-19 epidemic. Furthermore, as part of this study, I employed a set of three cultural dimensions, namely Uncertainty Avoidance, Power Distance, and Individualism, to assess national culture. These dimensions serve as a metric to analyzes the variations in making decision among different nations when faced with stressful and ambiguous circumstances. After using Pooled OLS model accompanied with the Feasible Generalized Least Squares model to fix heteroskedasticity and autocorrelation, the empirical results point out that attention of investor related to Covid-19 has a negative effect on stock market return during the sample period and this relationship is firmly consistent under different contexts of national culture.