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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, 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, 2022. "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:71
    DOI: 2022/06/16
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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. 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.
    Full references (including those not matched with items on IDEAS)

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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
    • L82 - Industrial Organization - - Industry Studies: Services - - - Entertainment; Media
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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