Information demand during the COVID-19 pandemic

Dong, Hang; Gil-Bazo, Javier; Ratiu, Raluca Valeria

doi:http://dx.doi.org/10.1016/j.jaccpubpol.2021.106917

Information demand during the COVID-19 pandemic

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Dong H, Gil-Bazo J, Ratiu RV. Information demand during the COVID-19 pandemic. J Account Public Policy. 2021 Oct-Nov;40(6):106917. DOI: 10.1016/j.jaccpubpol.2021.106917

Abstract

We investigate the demand for financial information during the initial months of the COVID-19 pandemic. Using Google search data for individual stocks, we show that the Abnormal Google Search Volume Index declined significantly between March and June of 2020. We find a similar effect around earnings announcements dates, which confirms that the demand for financial information by retail investors declined during the pandemic. Our results are indicative of potentially important consequences for information diffusion, price discovery and market efficiency under extreme uncertainty. We discuss possible explanations for these results.