Before revision:  However, although a few of Covid-19 variables, e.g., US total deaths and US new cases exhibit causal relationship on price volatility, EGARCH model suggests that Covid-19 cases and deaths, local spread spreads of Covid-19 , and Google search activities do not have impacts on price volatility.
After revision:  In addition, incorporating information about local spread significantly improves the performance of forecasting models of the abnormal stock prices at longer forecasting horizons. On the other hand, although a few of Covid-19 variables, e.g., US total deaths and US new cases exhibit causal relationship on price volatility, EGARCH model suggests that Covid-19 cases and deaths, local spread spreads of Covid-19 , and Google search activities do not have impacts on price volatility.