Which COVID-19 information really impacts stock markets?

Szczygielski, Jan; Charteris, Ailie; Bwanya, Princess Rutendo; Brzeszczyński, Janusz

doi:10.1016/j.intfin.2022.101592

Cited by 20 publications

(3 citation statements)

References 135 publications

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“…Typically, researchers use the onset of COVID-19 as a background event, and then observe the emergence and fluctuations of market, economic, and financial events within this context (Goodell 2020;Kumar et al 2020). Given that over three years have passed since the COVID-19 outbreak, it is difficult to assume that its effect on financial markets has remained consistent over such an extended period (Szczygielski et al 2023;Zaheer et al 2022). This study explores the effect of COVID-19 on the stock market across various time frames, leveraging the capacity of public opinion to examine events retrospectively.…”

Section: Introductionmentioning

confidence: 99%

The game of lies by stock investors in social media: a study based on city lockdowns in China

Liu,

Son,

Lee

2024

Financ Innov

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The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial markets and this sentiment. The central hypothesis we focus on is derived from the "lie game" played by investors on social media. This study is the first to explore three states of this lie game in the context of the Chinese stock market: the "equilibrium state", the "confusion state", and the "subversion state". Our findings indicate that the "equilibrium" state is the typical state of the lie game, where increased investor sentiment results in more positive market behavior, and higher stock prices lead to increased investor sentiment. We also examine the effect of significant social events, such as the "lockdown in Wuhan" and the "lockdown in Shanghai", on the lie game's outcome. The successful lockdown in Wuhan and the public's opposition to the politicization of COVID-19 reinforced the "equilibrium" state of the game. However, the Shanghai lockdown's failure to promptly halt the spread of COVID-19 led to the intertwining of the economy and COVID-19 in public discourse, shifting the lie game's outcome from an "equilibrium state" to a "subversive state". We emphasize that the "confusion state" and "subversion state" outcomes of the lie game are concerning, and managing public opinion and the externalization of domestic conflicts can help reduce this risk. This study offers a fresh perspective on the traditional issues of investor sentiment reliability and the causal relationship between investor sentiment and stock markets.

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Section: Introductionmentioning

confidence: 99%

The game of lies by stock investors in social media: a study based on city lockdowns in China

Liu,

Son,

Lee

2024

Financ Innov

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“…Bouri et al ( 2021 ) observed that a daily newspaper-based index of equity market volatility due to infectious diseases enhances the prediction verity of gold realized variance at short-, medium, and long-run perspectives. Szczygielski et al ( 2022 ) found that pandemic-related uncertainty, lockdowns, and media attention primarily impacted financial markets.…”

Section: Introductionmentioning

confidence: 99%

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Gherghina

Simionescu

2023

Financ Innov

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This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin’s daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin’s price.

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“…The official Chinese COVID-19 data is released in the evening, while the Chinese A-share market trades between 9AM and 3PM. There is also intra-day variability, and this variability due to measurement error may have serious endogenous consequences, so this paper draws on existing methods to run regressions using t-1 natural day COVID-19 data [19]. In the context of public health emergencies, investors' irrational emotions will lead to the increase of stock market volatility [20,21,22], We can analyze the different importance that investors attach to indicators of COVID-19 at different times in a market dominated by irrational sentiment, therefore, different influences may exist for COVID-19 indicators at different times.…”

Section: Introductionmentioning

confidence: 99%

Research on risk transmission mechanism of Chinese A-share industry under COVID-19 based on VAR model

Li¹

2023

Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)

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This article uses Python to implement the VAR model to construct the volatility spillover effect of industry sub-index merged by Shenwan's first-class classification. The systemic financial risk transmission relationship among different industries of Chinese A-share listed companies under the background of public health emergencies was observed, and the driving mechanism behind it was studied in depth. The empirical results show that the spillover impact of COVID-19 risk on industry volatility is significant in 2 days prediction period, but part of the risk impact can be absorbed by the market as the prediction period is extended to 5 days. The external market risk impact on non-financial service and financial industry has the most significant positive correlation with COVID-19 indicators, while the external impact of comprehensive industry on A-share market has the most significant positive correlation with COVID-19 indicators. On this basis, considering the difference in time between economic variables and COVID-19 variables and weekend effect, this paper innovatively constructed intermediate-term indicators and short-term indicators, this paper concluded that the impact of intermediate-term indicators on industry risk impact is greater than that of short-term indicators. To sum up, from the perspective of public health emergencies and industries, this paper puts forward relevant opinions on how to effectively prevent the impact of epidemic, which provides an effective reference for improving the systemic risk supervision mechanism of Chinese A-share market.

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Which COVID-19 information really impacts stock markets?

Cited by 20 publications

References 135 publications

The game of lies by stock investors in social media: a study based on city lockdowns in China

The game of lies by stock investors in social media: a study based on city lockdowns in China

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Research on risk transmission mechanism of Chinese A-share industry under COVID-19 based on VAR model

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