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Panic News and media Hype Effects on Stock Market Returns and Volatility amid Infectious Diseases Turmoil

Author

Listed:
  • Waqas Shair

    (Lecturer, School of Economics and Finance, Minhaj University Lahore, Pakistan)

  • Dr. Farhat Rasul

    (Assistant Professor, Lecturer, Department of Economics and Quantitative Methods, University of Management and Technology, Lahore, Pakistan)

  • Sidra Raza

    (Lecturer, Department of Economics and Quantitative Methods, University of Management and Technology, Lahore, Pakistan)

  • Dr. Ayesha Qamar

    (Assistant Professor, School of Economics and Finance, Minhaj University Lahore, Pakistan)

Abstract

This study investigates the effect of fake news panic news and media hype on stock market returns amid COVID-19 in Pakistan. It also scrutinizes the asymmetric effect of bad and good news on stock market volatility. For empirical analysis data of six indicators related to news collected from Ravenpack. The data is ranged from the date of first COVID-19 case recognition dated February 26, 2020 to October 26, 2020. This time span consist on the 166 working days in which stock market remains open. The estimates of the Multivariate EGARCH model revealed that fake news and media hype is negatively associated with the stock market returns. The negative effect of media hype is greater than fake news. The aftermath of variance equation suggests that media hype infodemic and panic new increase the stock market volatility. The findings of the study suggests that strong co-ordination among NCOC and Information ministry may result in stabilizing the stock market return by enhancing the investors’ confidence and reducing the panic.

Suggested Citation

  • Waqas Shair & Dr. Farhat Rasul & Sidra Raza & Dr. Ayesha Qamar, 2023. "Panic News and media Hype Effects on Stock Market Returns and Volatility amid Infectious Diseases Turmoil," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(4), pages 79-87.
    • Handle: RePEc:rfh:bbejor:v:12:y:2023:i:4:p:79-87
    DOI: https://doi.org/10.61506/01.00085
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    References listed on IDEAS

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