Paule-Vianez, JessicaOrden-Cruz, CarmenGómez-Martínez, RaúlEscamilla-Solano, Sandra2024-01-232024-01-232023-06-12Paule-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, 1142–1156.0718-1876https://hdl.handle.net/10115/28736This 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.engAtribución 4.0 Internacionalhttp://creativecommons.org/licenses/by/4.0/COVID-19fearstock returnsGoogle Trendsalgorithmic trading systeminfo:eu-repo/semantics/article10.3390/jtaer18020058info:eu-repo/semantics/embargoedAccess