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Market sentiment to COVID‐19 and the Chinese stock market

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  • Liao Xu
  • Jilong Chen
  • Hao Xu

Abstract

We classify the market sentiment to COVID‐19 into expected and unexpected components and then examine their particular impacts on the stock market. We find that unexpected sentiment causes fluctuations in the stock market more than expected sentiment does. However, unexpected sentiment cannot affect stock market informativeness despite the remarkable informational effect of expected sentiment. Moreover, the relation between expected sentiment and stock market fluctuation or informativeness is one‐way, whereas there exists a two‐way interaction between unexpected sentiment and stock market fluctuation. This further confirms that expected sentiment is informational, whereas unexpected sentiment is quite noisy and informationally harmful.

Suggested Citation

  • Liao Xu & Jilong Chen & Hao Xu, 2023. "Market sentiment to COVID‐19 and the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1121-1135, April.
    • Handle: RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1121-1135
    DOI: 10.1111/acfi.13012
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