Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China

Yun Hong, Yanhui Jiang, Xiaojian Su and Chao Deng

Research in International Business and Finance, 2024, vol. 67, issue PA

Abstract: This study examines the causality between extreme state media coverage and extreme stock market return during the COVID-19 crisis in China. Using XinwenLianbo as a proxy for national media, we find bidirectional Granger causality between state media focus/tone and stock market returns under extreme conditions. We also find that the spillover effects of extreme risk are heterogeneous across different industries, companies of different sizes and ownership structures, and at different timescales for stock market returns. Robust and extended testing shows that our results are valid after accounting for the severe impact of COVID-19, although the extreme risk spillover effect may vary slightly on weekends. The focus and tone of national media greatly impact retail and institutional investors, respectively. We also notice that investors have become more optimistic in the post-pandemic era, and the share price plunge on the first day after the Chinese New Year 2020 has had a significant impact on national media coverage.

Keywords: State media; Stock market; Ownership; Extreme risk; VaR granger causality (search for similar items in EconPapers)
JEL-codes: C32 D53 D91 G32 G41 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002696

DOI: 10.1016/j.ribaf.2023.102143

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