This paper investigates the impact of coronavirus disease 2019 (COVID-19) on the Chinese stock market. We show that the COVID-19 outbreak not only hurts the stock returns but also affects the stock price sensitivity to firm-specific information. We document heterogeneous effects of the epidemic infection scale and the public attention about the pandemic. The stock market response to firm-specific information is decelerated (accelerated) by the public attention (infection scale). Moreover, the decreasing (increasing) effect of the public attention (infection scale) on such response is more intensive to positively toned (negatively toned) firm-specific news articles. Finally, we observe price reversal (momentum) following the public attention (infection scale).
Publication Date
2021-09-01Journal
Accounting and FinanceVolume
61Issue
3Pagination
16p. (p. 4741-4756)Publisher
WileyISSN
0810-5391Rights Statement
© 2020 Accounting and Finance Association of Australia and New Zealand. This is the peer reviewed version of the following article: Xu L; Chen J; Zhang X & Zhao J (2021). COVID‐19, public attention and the stock market. Accounting and Finance, 61(3), 4741-4756, which has been published in final form at http://doi.org/10.1111/acfi.12734. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
