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COVID‐19, public attention and the stock market

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  • Liao Xu
  • Jilong Chen
  • Xuan Zhang
  • Jing Zhao

Abstract

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).

Suggested Citation

  • Liao Xu & Jilong Chen & Xuan Zhang & Jing Zhao, 2021. "COVID‐19, public attention and the stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4741-4756, September.
    • Handle: RePEc:bla:acctfi:v:61:y:2021:i:3:p:4741-4756
    DOI: 10.1111/acfi.12734
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    References listed on IDEAS

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    Cited by:

    1. Dash, Saumya Ranjan & Maitra, Debasish, 2022. "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. D’Augusta, Carlo & Grossetti, Francesco, 2023. "How did Covid-19 affect investors’ interpretation of earnings news? The role of accounting conservatism," Finance Research Letters, Elsevier, vol. 52(C).
    3. Li, Sufang & Xu, Qiufan & Lv, Yixue & Yuan, Di, 2022. "Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis," Resources Policy, Elsevier, vol. 78(C).
    4. Boubaker, Sabri & Goodell, John W. & Kumar, Satish & Sureka, Riya, 2023. "COVID-19 and finance scholarship: A systematic and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. 85(C).
    5. Hassan, M. Kabir & Hasan, Md. Bokhtiar & Halim, Zairihan Abdul & Maroney, Neal & Rashid, Md. Mamunur, 2022. "Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

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