Background: This article studies the relationship between the COVID-19 epidemic, public sentiment, and the volatility of infectious disease equities from the perspective of the United States. We use weekly data from January 3, 2020 to March 7, 2021. This provides a sufficient dataset for empirical analysis. Granger causality test results prove the two-way relationship between the fluctuation of infectious disease equities and confirmed cases. In addition, confirmed cases will cause the public to search for COVID-19 tests, and COVID-19 tests will also cause fluctuations in infectious disease equities, but there is no reverse correlation. The results of this research are useful to investors and policy makers. Investors can use the number of confirmed cases to predict the volatility of infectious disease equities. Similarly, policy makers can use the intervention of retrieved information to stabilize public sentiment and equity market fluctuations, and integrate a variety of information to make more scientific judgments on the trends of the epidemic.
This paper explores determinants of price premiums between A‐share and American depositary receipts (ADR) or H‐share and sheds light on policies using daily data from cross‐listed companies from 2002–2020. Market sentiment and financial openness are critical in explaining both types of price premiums. Expected exchange rate changes significantly impact the A‐share versus ADR premium but liquidity is essential for the A‐share versus H‐share premium. The introduction of Shanghai–Hong Kong Stock Connect in November 2014 has effectively increased the price discovery capacity of the A‐share market, and investors were more adaptive to the RMB foreign exchange rate volatility after Chinese exchange rate system reform in 2015. The paper provides insights into future capital market reform in China.
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