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Asymmetric Impact of COVID-19 on China's Stock Market Volatility - Media Effect or Fact?

Author

Listed:
  • Xin Li

    (Institute of Finance and Development School of Economics and School of Finance, Nankai University, Tianjin, China)

Abstract

This study examines the asymmetric effects of positive and negative changes in media attention to COVID-19 and daily new confirmed COVID-19 cases on China’s stock market volatility by utilizing the nonlinear autoregressive distributed lag (NARDL) model. Empirical results show that media attention has a pronounced effect on China’s stock market volatility and this effect is greater than the direct impact of COVID-19. Finally, several important policy implications arise from these findings.

Suggested Citation

  • Xin Li, 2021. "Asymmetric Impact of COVID-19 on China's Stock Market Volatility - Media Effect or Fact?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-6.
    • Handle: RePEc:ayb:jrnael:47
    DOI: 2021/10/06
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    References listed on IDEAS

    as
    1. Topcu, Mert & Gulal, Omer Serkan, 2020. "The impact of COVID-19 on emerging stock markets," Finance Research Letters, Elsevier, vol. 36(C).
    2. Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    3. Daniel Andrei & Michael Hasler, 2015. "Investor Attention and Stock Market Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 33-72.
    4. Susan Sunila Sharma & Yezhou Sha, 2020. "Part A: Special Section on COVID-19 Research," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(15), pages 3551-3553, December.
    5. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Behera, Harendra & Gunadi, Iman & Rath, Badri Narayan, 2023. "COVID-19 uncertainty, financial markets and monetary policy effects in case of two emerging Asian countries," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 173-189.
    2. Hong, Yun & Jiang, Yanhui & Su, Xiaojian & Deng, Chao, 2024. "Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China," Research in International Business and Finance, Elsevier, vol. 67(PA).
    3. Liu, Yun & Zhang, Yun & Zhang, Yifei & Xiao, He, 2022. "Small business owners’ Fintech credit in crises: Theory and evidence from farmers under the COVID-19," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).

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    More about this item

    Keywords

    volatility; media attention; covid-19;
    All these keywords.

    JEL classification:

    • I10 - Health, Education, and Welfare - - Health - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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