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Multi-media textual information, COVID-19 sentiment and bond spread

Author

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  • Liu, Funing
  • Zhang, Xiaolin

Abstract

Few studies examine how sentiment across multi-media platforms affects corporate bond prices. Using eight million pieces of textual information from multi-media platforms, including official news media, the Sina Weibo blog, and WeChat, we compute COVID-19 sentiment indices. We find that an increase in negative sentiment significantly raises corporate bond spread, which cannot be explained by changes in fundamentals. Moreover, we highlight the role of consistency of sentiment across platforms. An increase in consistency of sentiment reduces corporate bond credit spreads but amplifies the impact of COVID-19 sentiment on bond spreads.

Suggested Citation

  • Liu, Funing & Zhang, Xiaolin, 2025. "Multi-media textual information, COVID-19 sentiment and bond spread," Research in International Business and Finance, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004501
    DOI: 10.1016/j.ribaf.2024.102657
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    More about this item

    Keywords

    COVID-19; WeChat; Weibo; Sentiment; Bond spread;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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