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Co-Integration among COVID-19, Investor Sentiment, and the Stock Market

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  • Lin Xiao
  • Vesarach Aumeboonsuke

Abstract

This study focuses on stock market performance during the COVID-19 pandemic, aiming to research the co-integration among COVID-19 cases, investor sentiment, and the stock market. The data for the study comprised index returns, trading volume, turnover rate, and volatility from CSI300 index from January 2020 to December 2021. The paper planned to introduce methods that used the autoregressive distributed lag model, co-integration test, and error correction model to achieve the aims. The results show that there is a long-term co-integration relationship among these variables. However, when we consider the long-term association between COVID-19 and investor sentiment and individual stock market variables separately, we find no association among COVID-19 and market volatility, trading volume, or turnover rates. From the perspective of investor sentiment, there is no long-term relationship between investor sentiment and market volatility. Therefore, the model results show that there is a long-term relationship among the variables only when the data are integrated, but this relationship does not always persist when considering individual variables. As the COVID19 still continues, the study results would have the implications for the investment decision-making and risk avoidance to face the pandemic.

Suggested Citation

  • Lin Xiao & Vesarach Aumeboonsuke, 2022. "Co-Integration among COVID-19, Investor Sentiment, and the Stock Market," Humanities and Social Sciences Letters, Conscientia Beam, vol. 10(4), pages 492-510.
    • Handle: RePEc:pkp:hassle:v:10:y:2022:i:4:p:492-510:id:3139
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    References listed on IDEAS

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    1. Sun, Yunchuan & Wu, Mengyuan & Zeng, Xiaoping & Peng, Zihan, 2021. "The impact of COVID-19 on the Chinese stock market: Sentimental or substantial?," Finance Research Letters, Elsevier, vol. 38(C).
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    1. Andini Nurul Aini & Citra Sukmadilaga & Erlane K. Ghani, 2023. "Green Bonds, Investor Attention and Stock Market Reaction: Evidence from ASEAN Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 334-343, November.

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