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• W4289936528 abstract "The outbreak of the COVID-19 pandemic received widespread media attention, and global financial markets reacted strongly to the pandemic shocks. It is, therefore, worthwhile to detect the influence of media hype about COVID-19 and the pandemic index on stock market price returns. Utilising a newly developed non-linear ARDL model, our empirical outcomes show that the direct effect of the COVID-19 pandemic index on sectoral stock market returns is generally weak and significant only in the Energy, Financials, and Health Care sectors. In contrast to the direct effect of the COVID-19, we find that the media hype index pronouncedly affects sectoral stock market returns, with a significant negative effect in most sectors and with asymmetry. The dynamic asymmetric causality test has been applied for robustness check, where there is time-varying asymmetric causality from media hype to sectoral stock markets. These findings help investors with different investment horizons in emerging markets understand sector-level stock price dynamics and formulate investment strategies during the pandemic. Furthermore, market regulators should consider asymmetric effects over time when formulating strategies and making policy decisions." @default.
• W4289936528 created "2022-08-06" @default.
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• W4289936528 date "2022-08-05" @default.
• W4289936528 modified "2023-09-26" @default.
• W4289936528 title "What threatens stock market returns under the COVID-19 crisis in China: the pandemic itself or the media hype around it?" @default.
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• W4289936528 doi "https://doi.org/10.1080/1331677x.2022.2106272" @default.
• W4289936528 hasPublicationYear "2022" @default.
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