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Fear of COVID-19 Effect on Stock Markets. A Proposal for an Algorithmic Trading System Based on Fear

dc.contributor.authorPaule-Vianez, Jessica
dc.contributor.authorOrden-Cruz, Carmen
dc.contributor.authorGómez-Martínez, Raúl
dc.contributor.authorEscamilla-Solano, Sandra
dc.date.accessioned2024-01-23T14:30:36Z
dc.date.available2024-01-23T14:30:36Z
dc.date.issued2023-06-12
dc.identifier.citationPaule-Vianez, J.; Orden-Cruz, C.; Gómez-Martínez, R.; Escamilla-Solano, S. Fear of COVID-19 Effect on Stock Markets: A Proposal for an Algorithmic Trading System Based on Fear. J. Theor. Appl. Electron. Commer. Res. 2023, 18, 1142–1156.es
dc.identifier.issn0718-1876
dc.identifier.urihttps://hdl.handle.net/10115/28736
dc.description.abstractThis study analyzes the fear of COVID-19 effect on European stock market returns. For this purpose, the search volumes (SV) collected by Google Trends (GT) and Wikipedia were used as proxies of fear of COVID-19. In a sample from 13 European stock markets, fear of COVID-19 was found to be associated with negative European stock returns. Our research employed this observation to propose an algorithmic trading system based on fear of COVID-19. Back-testing results show the possibility of extraordinary returns based on this system. These findings have important implications for political authorities, the mass media, and investors.es
dc.language.isoenges
dc.publisherMDPIes
dc.rightsAtribución 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectCOVID-19es
dc.subjectfeares
dc.subjectstock returnses
dc.subjectGoogle Trendses
dc.subjectalgorithmic trading systemes
dc.titleFear of COVID-19 Effect on Stock Markets. A Proposal for an Algorithmic Trading System Based on Feares
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doi10.3390/jtaer18020058es
dc.rights.accessRightsinfo:eu-repo/semantics/embargoedAccesses


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