IDEAS home Printed from https://ideas.repec.org/a/eee/mulfin/v73y2024ics1042444x24000124.html
   My bibliography  Save this article

Government reporting credibility as immunity: Evidence from a public health event

Author

Listed:
  • Jiang, Christine
  • Zhang, Xiaori
  • Hu, Bill

Abstract

We investigate the relationship between the credibility of officially reported COVID-19 infection cases and the direct effects of the public health crisis on stock market performance. Employing the law of left digits, we estimate the likelihood of misreporting in official data to evaluate government reporting credibility (RC). A higher deviation from expected Benford’s distributions implies a greater likelihood of misreporting and lower RC. Our premise is that high credibility of government reporting during crisis mitigates the negative consequences of disasters through lowering investors’ risk aversion and bolstering their confidence. Our main results are highly consistent with this hypothesis. The positive influence of RC is particularly pronounced for companies situated in economies characterized by higher uncertainty and weaker governance before the crisis, and during periods of heightened market panic. Our findings suggest that the credibility of government reporting can act as immunity-like protection for stock markets in times of crisis.

Suggested Citation

  • Jiang, Christine & Zhang, Xiaori & Hu, Bill, 2024. "Government reporting credibility as immunity: Evidence from a public health event," Journal of Multinational Financial Management, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000124
    DOI: 10.1016/j.mulfin.2024.100847
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042444X24000124
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.mulfin.2024.100847?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    COVID-19; Country reporting quality; Information environment; International equity markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000124. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/mulfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.