Multi-media textual information, COVID-19 sentiment and bond spread

Funing Liu and Xiaolin Zhang

Research in International Business and Finance, 2025, vol. 74, issue C

Abstract: Few studies examine how sentiment across multi-media platforms affects corporate bond prices. Using eight million pieces of textual information from multi-media platforms, including official news media, the Sina Weibo blog, and WeChat, we compute COVID-19 sentiment indices. We find that an increase in negative sentiment significantly raises corporate bond spread, which cannot be explained by changes in fundamentals. Moreover, we highlight the role of consistency of sentiment across platforms. An increase in consistency of sentiment reduces corporate bond credit spreads but amplifies the impact of COVID-19 sentiment on bond spreads.

Keywords: COVID-19; WeChat; Weibo; Sentiment; Bond spread (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004501

DOI: 10.1016/j.ribaf.2024.102657

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