  We measure the public concern during the outbreak of COVID-19 disease using
three data sources from Google Trends (YouTube, Google News, and Google
Search). Our findings are three-fold. First, the public concern in Italy is
found to be a driver of the concerns in other countries. Second, we document
that Google Trends data for Italy better explains the stock index returns of
France, Germany, Great Britain, the United States, and Spain with respect to
their country-based indicators. Finally, we perform a time-varying analysis and
identify that the most severe impacts in the financial markets occur at each
step of the Italian lock-down process.
