 When local and foreign investors meet the Chinese government's risk perception about COVID-19Chao Deng, Shiyu Li and Yun Hong Journal of Multinational Financial Management, 2024, vol. 74, issue C Abstract: This paper explores the nuanced extreme market responses exhibited by segmented domestic and foreign investors in reaction to state media coverage of the COVID-19 pandemic in China’s A-share and H-share markets. Our findings indicate that an extreme increase (or decrease) in this unexpected attention is likely to lead to an extreme increase (or decrease) in stock prices. Domestic investors show increased sensitivity to an abnormal decrease in state media attention, whereas foreign investors are more responsive to an increase in this attention. An extreme unexpected decline in state media coverage of the pandemic significantly influences extreme fluctuations in the A-share market’s trading volume. In contrast, an abnormal increase in state media coverage of the pandemic tends to extremely decrease the H-share market’s trading volume. In the early panic phase, domestic (foreign) investors tend to reach a consensus more on abnormal declines (increases) in state media reports on the pandemic. Keywords: Segmented markets; State media; COVID-19; Extreme risk spillover; A–H share market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:74:y:2024:i:c:s1042444x24000239 DOI: 10.1016/j.mulfin.2024.100858 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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