Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China
This paper treats the outbreak of coronavirus disease 2019 (COVID-19) as a natural experiment that can provide insights into the effects of investor sentiment on stock market reactions. Employing the event study methodology (ESM) and taking the date of the Wuhan lockdown as the event date, we find t...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/8413916 |
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| author | Lin Sun Wei Shi |
| author_facet | Lin Sun Wei Shi |
| author_sort | Lin Sun |
| collection | DOAJ |
| description | This paper treats the outbreak of coronavirus disease 2019 (COVID-19) as a natural experiment that can provide insights into the effects of investor sentiment on stock market reactions. Employing the event study methodology (ESM) and taking the date of the Wuhan lockdown as the event date, we find that average abnormal return (AAR) and cumulative abnormal return (CAR) are significantly negative, and average trading volume excesses far more than before within two days of the outbreak. Further, we establish a difference-in-differences (DID) model to investigate the differences between Hubei and non-Hubei listed companies. The results show that for Hubei listed companies, the change of excessive trading volume (ETV) between pre-event and post-event period is significantly higher than that of non-Hubei listed companies, while there exhibits no relationship between the change of AAR and registration place. Overall, our findings provide new evidence for the interaction of local bias and investor sentiment affecting stock market reactions. |
| format | Article |
| id | doaj-art-558f8a49ac6a418bab558a1ba919669b |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-558f8a49ac6a418bab558a1ba919669b2025-02-03T01:20:17ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/8413916Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from ChinaLin Sun0Wei Shi1School of Mathematics and StatisticsSchool of ManagementThis paper treats the outbreak of coronavirus disease 2019 (COVID-19) as a natural experiment that can provide insights into the effects of investor sentiment on stock market reactions. Employing the event study methodology (ESM) and taking the date of the Wuhan lockdown as the event date, we find that average abnormal return (AAR) and cumulative abnormal return (CAR) are significantly negative, and average trading volume excesses far more than before within two days of the outbreak. Further, we establish a difference-in-differences (DID) model to investigate the differences between Hubei and non-Hubei listed companies. The results show that for Hubei listed companies, the change of excessive trading volume (ETV) between pre-event and post-event period is significantly higher than that of non-Hubei listed companies, while there exhibits no relationship between the change of AAR and registration place. Overall, our findings provide new evidence for the interaction of local bias and investor sentiment affecting stock market reactions.http://dx.doi.org/10.1155/2022/8413916 |
| spellingShingle | Lin Sun Wei Shi Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China Discrete Dynamics in Nature and Society |
| title | Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China |
| title_full | Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China |
| title_fullStr | Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China |
| title_full_unstemmed | Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China |
| title_short | Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China |
| title_sort | investor sentiment and stock market reactions to covid 19 evidence from china |
| url | http://dx.doi.org/10.1155/2022/8413916 |
| work_keys_str_mv | AT linsun investorsentimentandstockmarketreactionstocovid19evidencefromchina AT weishi investorsentimentandstockmarketreactionstocovid19evidencefromchina |