HOUSEHOLD PANDEMIC INTERNET SEARCH INTENSITY AND STOCK RETURNS: A CASE OF TOURISM INDUSTRY RESILIENCY

The paper uses a novel approach to capture the daily pandemic attention sentiment from the Google Search Volume Index (GSVI) to examine the effect of COVID-19 pandemic attention sentiment on the tourism industry stock returns. It explores the asymmetric effect of pandemic search intensity on stock returns once the heterogeneity of firm-specific financial information is considered. It further evaluates the effectiveness of government policy interventions and travel restrictions on the pandemic and stock return relationship. 

Using daily data from 157 hospitality and tourism industry firms across 22 countries, we observe significant negative effect of pandemic attention sentiment on stock returns. The results are robust, including alternative measures of pandemic information, firm characteristics, macroeconomic controls, government policy indices, and Google mobility trend information. We find that firms with higher market capitalisation and lower valuation measures are more immune to the pandemic effect.  

The paper also provides early evidence on the impact of internet search-based pandemic attention measures on tourism firm stock returns. Using Google mobility trend data, we notice that restrictions imposed by the government on the public to move out of their places for R&R and transit purposes are not well received by the market participants, thereby plummeting the stock returns. Finally, we find that a country’s cultural dimensions like collectivism, a stable financial system, better GE, and an improved health system help to mitigate the downside risk of stock price movement due to pandemic-induced uncertainty. Our results help to extend and complement the growing body of literature that examines the pandemic effect on stock returns.