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Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

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  • Yi Zhang
  • Long Zhou
  • Baoxiu Wu
  • Fang Liu

Abstract

This paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity markets through a quantile analysis framework. The empirical results are mixed: news events originating in the United States have a greater impact on market contagion compared with those originating in China, especially at lower quantiles. Stock markets respond asymmetrically to good news versus bad news, and the latter lead to a sharper common fall among the markets than the boost to the market caused by good news. We also find evidence that conditional variance and investor sentiment play some role in the spread of financial market crises, despite differences in extent and direction.

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  • Yi Zhang & Long Zhou & Baoxiu Wu & Fang Liu, 2025. "Analysing the impacts of unscheduled news events on stock market contagion during the epidemic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 590-601, January.
    • Handle: RePEc:wly:ijfiec:v:30:y:2025:i:1:p:590-601
    DOI: 10.1002/ijfe.2930
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