期刊
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
卷 58, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.ribaf.2021.101432
关键词
Novel Coronavirus 2019 (COVID-19); Sentiment; Chinese stock market; Official News Media; Sina Weibo
资金
- National Natural Science Foundation of China [71873070]
- Nankai University [ZB21BZ0308]
This study quantitatively measures the Chinese stock market's reaction to sentiments regarding COVID-19, indicating a positive effect on stock returns and turnover rates. The results suggest that sentiments played a proactive role in amplifying the effects of the pandemic crisis on the stock market.
This study quantitatively measures the Chinese stock market's reaction to sentiments regarding the Novel Coronavirus 2019 (COVID-19). Using 6.3 million items of textual data extracted from the official news media and Sina Weibo blogsite, we develop two COVID-19 sentiment indices that capture the moods related to COVID-19. Our sentiment indices are real-time and forward-looking indices in the stock market. We discover that stock returns and turnover rates were positively predicted by the COVID-19 sentiments during the period from December 17, 2019 to March 13, 2020. Consistent with this prediction, margin trading and short selling activities intensified proactively with growth sentiment. Overall, these results illustrate how the effects of the pandemic crisis were amplified by the sentiments.
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