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How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment

Author

Listed:
  • Sijia Zhao

    (School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China)

  • Ying Liu

    (School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China & Laboratory of Philosophy and Social Sciences, Ministry of Education, Beijing, China)

  • Benfu Lv

    (School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China & 3China Institute for Innovation and Development Strategy, Beijing, China, China Intercontinental Press, Beijing, China.)

  • Zijian Shangguan

    (China Institute for Innovation and Development Strategy, Beijing, China, China Intercontinental Press, Beijing, China.)

Abstract

During dramatic public health shocks, the impact of anti-epidemic policies on public sentiment is uncertain, and public sentiment has a significant impact on the stock market. But the relationship between the three is not clear. This paper uses government information release to reflect anti-epidemic policies, uses personal weibo to calculate public sentiment, and analyzes the relationship between Government information release, public sentiment and stock market. Through the Bi-LSTM classification model analysis about 200,000 microblog data during COVID-19, and build panel data regression model. The results show that: public sentiment have a significant positive impact on stock returns; Government information release have a significant positive impact on public sentiment; public sentiment play a intermediating role between government information release and stock market; Influenced by the enterprise size and the industry it belongs to, there is heterogeneity in public sentiment's impact.

Suggested Citation

  • Sijia Zhao & Ying Liu & Benfu Lv & Zijian Shangguan, 2022. "How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 60-67, May.
    • Handle: RePEc:eco:journ1:2022-03-7
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    References listed on IDEAS

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    More about this item

    Keywords

    Dramatic public health shocks; Public sentiment; Stock market response; Government information release;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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