Investor attention on COVID-19 and African stock returns

We examine the financial consequences of rising global investor attention or risk attitude related to the COVID-19 pandemic for African stock markets. Using daily investor attention indices, which are based on global COVD-19-related google search queries, and stock return indices for 14 African stock markets, we show that investor attention is an important determinant of stock returns. Our estimates suggest that an increase in investor attention consistently reduces stock returns in three stock markets, namely Botswana, Nigeria, and Zambia. In contrast, an increase in investor attention may enhance stock returns in Ghana and Tanzania. Our estimates imply that, in uncertain times like the current pandemic, stock markets like those of Ghana and Tanzania may offer potential diversification benefits to investors. We demonstrate that our estimates are broadly robust using a composite measure of investor attention. • We built a direct and unambiguous measure of investor attention or risk attitude related to the COVID-19 pandemic. • In an exponential generalised autoregressive heteroskedasticity of order one (i.e. EGARCH(1,1)) framework, we regressed stock returns on their first lags, investor attention, exchange rate returns, and commodity returns, and controlled for investor attention in the variance equation.