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

Sijia Zhao, Ying Liu, Benfu Lv and Zijian Shangguan
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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.

International Journal of Economics and Financial Issues, 2022, vol. 12, issue 3, 60-67

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.

Keywords: Dramatic public health shocks; Public sentiment; Stock market response; Government information release (search for similar items in EconPapers)
JEL-codes: C58 G12 G41 (search for similar items in EconPapers)
Date: 2022
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