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The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model

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Listed:
  • Deng, Chao
  • Chen, Keyuan
  • Yu, Li
  • He, Yinxi
  • Hong, Yun
  • Jiang, Yanhui

Abstract

In this study, we examine the asymmetric relationship between the tone of state media—China Central Television (CCTV)—and the bond market during the COVID-19 pandemic in China using a nonlinear autoregressive distributed lag model. We find a long-term cointegrated but asymmetric relationship between changes in the tone of CCTV News on COVID-19 and aggregate bond market returns, while the short-run analysis finds a stronger contemporaneous bond market reaction to negative CCTV tone changes than to positive ones. Sectoral bond market results indicate that both short- and long-term market reactions to changes in CCTV tone are stronger in bonds backed by the government, including treasury bonds, municipal bonds, and policy market bonds. Regarding bonds with different credit ratings, we document a nonsignificant long-term reaction to CCTV tone changes in the AAA credit rating group. Finally, for bonds with various maturities, we find that long-maturity treasury bonds are insensitive to changes in CCTV tone in both the short and long run.

Suggested Citation

  • Deng, Chao & Chen, Keyuan & Yu, Li & He, Yinxi & Hong, Yun & Jiang, Yanhui, 2025. "The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
    • Handle: RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000292
    DOI: 10.1016/j.jbef.2025.101048
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E71 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on the Macro Economy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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