Panic of COVID-19 on the volatility of U.S. portfolios: Applied big data from Google trend

Abstract

© 2020 IEEE. In this study, we used the trend of COVID-19 from Google trend to represent a panic of investors in COVID-19 and measure the effect of that panic on time-varying volatility of U.S. portfolios by using Fama - French five factor models with GARCH model. The result of analysis, we can capture a time-varying volatility of all portfolios since 11/1/2019 to 4/30/2020 and trend of COVID-19 has affecting on time-varying volatility of the small neutral portfolio, big neutral portfolio, and small growth portfolio. The results of this study coincide with the event that investors panicked that caused a circuit breaker in the stock market. So, we can use Google trend for 'warning sign' of a COVID-19 panic.