Daily Infectious Disease Equity Market Volatility Tracker

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Following our work in Baker, Bloom, Davis, and Kost (2019) and as seen here, we construct a newspaper-based Infectious Disease Equity Market Volatility Tracker. This daily measure is available from January 1985 to the present and is updated daily.

To construct the Infectious Disease EMV tracker, we proceed as follows. First, we specify terms in four sets, as follows (term variants also included):

• E: {economic, economy, financial}
• M: {"stock market", equity, equities, "Standard and Poors"}
• V: {volatility, volatile, uncertain, uncertainty, risk, risky}
• ID: {epidemic, pandemic, virus, flu, disease, coronavirus, mers, sars, ebola, H5N1, H1N1}

Second, we obtain daily counts of newspaper articles that contain at least one term in each of E, M, V, and ID across approximately 3,000 US Newspapers. Third, we scale the raw EMV-ID counts by the count of all articles in the same day. In a final step, we multiplicatively rescale the resulting series mirroring our approach to scale a Categorical EMV series in our Categorical EMV tracker. That is, we match the level of the VIX between 1990 and 2016 using the overall EMV index and then scale this ID-EMV index to reflect the ratio of the ID-EMV articles to total EMV articles.

For more information on our methods and a discussion of how we select terms, see "The Unprecedented Stock Market Reaction to COVID-19" by Scott R. Baker, Nick Bloom, Steven J. Davis, Kyle Kost, Marco Sammon, and Tasaneeya Viratyosin.