The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

Abstract

This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market; in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric.

Unmasking the Effect of News Media on Islamic Stock Market: Are ASEAN-3 Countries Vulnerable to Covid-19 News?

“…The greater the index value of the media frenzy regarding the COVID-19 issue, the more the Sharia stock index is corrected (down). This study supports previous studies from Tan (2021a;2021b) and Zargar and Kumar (2021), who found that the Media Hype Index on COVID-19 significantly negatively affected returns and stock prices both individually and collectively in the stock market. Conversely, this study presents contrasting findings to those of Rakshit and Neog (2021), who concluded that media frenzy about an incident positively affects stock market performance.…”

“…However, the fake news index and the contagion index were not found to affect the price movements of Islamic shares. This study also supports previous research stating that the critical elements of media effects that have a significant effect on Islamic capital markets in the three ASEAN countries are the panic index, media hype index, and sentiment index variables (Cepoi, 2020;Shi & Ho, 2021;TAN, 2021a). Although the fake news index has no significant effect on the Sharia stock index's movement, Indonesia has the highest fake news index, sentiment index, and panic index compared to the other two ASEAN countries in this study.…”

COVID-19 Vaccination and Fear Indices Impacting on Healthcare Stock Indices Price in Southeast Asia during the Vaccination Rollout

“…Due to high abnormal change, it triggered high volatility in the stock market. Our findings support prior research that utilized sentiment index as their explanatory variable (Baig et al, 2021;Tan, 2021).…”

“…Thereafter, the values moved towards positive numbers eventually (Buigut & Kapar, 2021). The positive sentiment positively affected stock prices (Tan, 2021). Therefore, we propose the hypothesis as follows:…”

Consequences of COVID-19 on Health, Economy, and Tourism in Asia: A Systematic Review

“…Olakojo et al [48] examined that the lower-income country had a lower impact than the higher-income country. Apart from the COVID-19 impact, false news and information can also increase the impact on the stock market [49]. Additionally, the commodity market was severely affected.…”