COVID-19 Sentiment and the Chinese Stock Market: Evidence from the Official News Media and Sina Weibo

Yuejiao Duan, Lanbiao Liu and Zhuo Wang

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: This study quantitatively measures the Chinese stock market’s reaction to sentiments regarding the Novel Coronavirus 2019 (COVID-19). Using 6.3 million items of textual data extracted from the official news media and Sina Weibo blogsite, we develop two COVID-19 sentiment indices that capture the moods related to COVID-19. Our sentiment indices are real-time and forward-looking indices in the stock market. We discover that stock returns and turnover rates were positively predicted by the COVID-19 sentiments during the period from December 17, 2019 to March 13, 2020. Consistent with this prediction, margin trading and short selling activities intensified proactively with growth sentiment. Overall, these results illustrate how the effects of the pandemic crisis were amplified by the sentiments.

Keywords: Novel Coronavirus 2019 (COVID-19); Sentiment; Chinese stock market; Official News Media; Sina Weibo (search for similar items in EconPapers)
JEL-codes: G12 G17 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000532

DOI: 10.1016/j.ribaf.2021.101432

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