Panic News and media Hype Effects on Stock Market Returns and Volatility amid Infectious Diseases Turmoil

Waqas Shair, Dr. Farhat Rasul, Sidra Raza and Dr. Ayesha Qamar
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Waqas Shair: Lecturer, School of Economics and Finance, Minhaj University Lahore, Pakistan
Dr. Farhat Rasul: Assistant Professor, Lecturer, Department of Economics and Quantitative Methods, University of Management and Technology, Lahore, Pakistan
Sidra Raza: Lecturer, Department of Economics and Quantitative Methods, University of Management and Technology, Lahore, Pakistan
Dr. Ayesha Qamar: Assistant Professor, School of Economics and Finance, Minhaj University Lahore, Pakistan

Bulletin of Business and Economics (BBE), 2023, vol. 12, issue 4, 79-87

Abstract: This study investigates the effect of fake news panic news and media hype on stock market returns amid COVID-19 in Pakistan. It also scrutinizes the asymmetric effect of bad and good news on stock market volatility. For empirical analysis data of six indicators related to news collected from Ravenpack. The data is ranged from the date of first COVID-19 case recognition dated February 26, 2020 to October 26, 2020. This time span consist on the 166 working days in which stock market remains open. The estimates of the Multivariate EGARCH model revealed that fake news and media hype is negatively associated with the stock market returns. The negative effect of media hype is greater than fake news. The aftermath of variance equation suggests that media hype infodemic and panic new increase the stock market volatility. The findings of the study suggests that strong co-ordination among NCOC and Information ministry may result in stabilizing the stock market return by enhancing the investors’ confidence and reducing the panic.

Keywords: News; COVID-19; Stock returns; Volatility (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:rfh:bbejor:v:12:y:2023:i:4:p:79-87

DOI: 10.61506/01.00085

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