Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2106272
What threatens stock market returns under the COVID-19 crisis in China: the pandemic itself or the media hype around it?
Xin Li
Chi-Wei Su
Zheng Li
Muhammad Umar
Sažetak
The outbreak of the COVID-19 pandemic received widespread media
attention, and global financial markets reacted strongly to the pandemic
shocks. It is, therefore, worthwhile to detect the influence of
media hype about COVID-19 and the pandemic index on stock market
price returns. Utilising a newly developed non-linear ARDL
model, our empirical outcomes show that the direct effect of the
COVID-19 pandemic index on sectoral stock market returns is generally
weak and significant only in the Energy, Financials, and Health
Care sectors. In contrast to the direct effect of the COVID-19, we find
that the media hype index pronouncedly affects sectoral stock market
returns, with a significant negative effect in most sectors and
with asymmetry. The dynamic asymmetric causality test has been
applied for robustness check, where there is time-varying asymmetric
causality from media hype to sectoral stock markets. These findings
help investors with different investment horizons in emerging
markets understand sector-level stock price dynamics and formulate
investment strategies during the pandemic. Furthermore, market
regulators should consider asymmetric effects over time when formulating
strategies and making policy decisions.
Ključne riječi
COVID-19; media hype; stock market; asymmetry; NARDL model
Hrčak ID:
306620
URI
Datum izdavanja:
30.4.2023.
Posjeta: 153 *