Asymmetric Impact of COVID-19 on China’s Stock Market Volatility - Media Effect or Fact?

Xin Li ()
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Xin Li: Institute of Finance and Development, School of Economics and School of Finance, Nankai University, China

Asian Economics Letters, 2022, vol. 2, issue 4, 1-6

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.

Keywords: volatility; media attention; covid-19 (search for similar items in EconPapers)
JEL-codes: G24 I10 L82 (search for similar items in EconPapers)
Date: 2022
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