Words matter: Market responses to changes in U.S. and Chinese trade-related internet search frequency under different U.S. administrations

• Published in: Global finance journal Vol. 53; p. 100742
• Main Authors: Mauck, Nathan, Pruitt, Stephen, Zhang, Wenjia
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01-08-2022
• Subjects: Investor attention; U.S. and China trade; Volatility; Volatility spillover; U.S. and China trade; Volatility; Volatility spillover; Investor attention
• ISSN: 1044-0283; 1873-5665
• DOI: 10.1016/j.gfj.2022.100742

This paper employs internet search frequency data as a proxy for investor interest in innovations in stock market volatility surrounding the U.S./China trade relationship. The study documents a positive correlation between U.S. and China trade-related investor attention and market-wide share-price volatility in both nations—especially during the Trump administration. In addition, the study confirms previously established volatility spillover effects between U.S. and Chinese markets, which, again, are strongest during the Trump presidency. Overall, the results of the study support the validity of using publicly-available internet search data as a proxy for investor attention.