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Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression

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  • Feipeng Zhang
  • Yun Hong
  • Yanhui Jiang
  • Jiayi Yu

Abstract

Using daily data from 20 January 2020 to 31 July 2020, we investigate the impact of national media crisis communication on stock market returns in China by employing the quantile regression method. By using Xinwen Lianbo (新闻联播) as a proxy for national media, we introduce two variables that can capture Xinwen Lianbo’s COVID-19 attention and tone. The results show a significant positive/negative impact of the media’s COVID-19 focus on contemporaneous stock market returns at high/low quantiles of daily returns. The impact of media’s tone toward COVID-19’s impact on contemporaneous daily stock market returns is also negative at low quantiles of daily returns. Xinwen Lianbo’s impact is mainly concentrated in the more contemporaneous overnight return rather than the intraday return. More serious cases of COVID-19 will aggravate (weaken) the impact of the national media’s tone at the lower (higher) quantile of overnight return. Finally, we explain our results by referring to psychology and cognition theory, including mood priming theory, mood as information theory and mood effects on the processing style model.

Suggested Citation

  • Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:33:p:3861-3881
    DOI: 10.1080/00036846.2021.2016591
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