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COVID‐19, public attention and the stock market

journal contribution
posted on 06.12.2021, 03:59 by Liao Xu, Jilong Chen, Xuan Zhang, Jing ZhaoJing Zhao
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).

Funding

The research is supported by Natural Science Foundation of Zhejiang Province (No. LQ20G010003).

History

Publication Date

01/09/2021

Journal

Accounting and Finance

Volume

61

Issue

3

Pagination

16p. (p. 4741-4756)

Publisher

Wiley

ISSN

0810-5391

Rights Statement

© 2020 Accounting and Finance Association of Australia and New Zealand

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