Multi-media sentiment to systemic risk: Evidence from COVID-19

Chenjiang Bai, Yuejiao Duan and John W. Goodell

International Review of Economics & Finance, 2025, vol. 97, issue C

Abstract: Using 8.8 million pieces of textual information between February to April 2020 from multi-media platforms, including the official news media, the Sina Weibo blog, and WeChat, we develop daily COVID-19 sentiment indices to examine whether it affects systemic risk based on depositors' perspective. The study finds that rising media sentiment reduces systemic risk by mitigating depositor runs. Further research finds differences in the impact of sentiment from different media platforms on systemic risk and that widening sentiment divergence exacerbates systemic risk. This paper points to the need to revisit the association between sentiment and financial markets from a multi-source media platform divergence perspective. The findings hold when considering endogeneity issues and multiple robustness tests.

Keywords: Sentiment; Systemic risk; COVID-19; Sentiment divergence (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007378

DOI: 10.1016/j.iref.2024.103745

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