How does Chinese stock market react to breaking news about COVID-19? Evidence from event study.

Although the COVID-19 pandemic is no longer considered a public health emergency of international concern, research is ongoing to determine whether and how financial markets have been affected. Using an event study methodology, we examine Chinese stock reactions to breaking news about COVID-19 during 2020-2023, covering nine important events from the first declaration of the novel coronavirus to classifying COVID-19 from top category A to B in China. The empirical results show that the Chinese stock market reacts negatively to bad news, such as the breakout of COVID-19 and the dynamic zero-COVID strategy, and positively to good news, such as COVID-19 vaccine approvals, ending the zero-COVID strategy, and reopening boards. The overall intensity of reactions to bad news is stronger than that to good news. Small-sized stocks react more positively to good news and more negatively to bad news. Different industries have different reactions to different events; however, the sector that responds strongly and negatively to bad news does not have to respond strongly and positively to good news, which, to some extent, reflects their profitability performance during the pandemic. In China, consumer discretionary, utilities and real estate are the most negatively affected by the pandemic, while materials, health care, and energy are the most positively affected. This study has important implications for reminding market participants to pay attention to breaking news announcements about COVID-19.

COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective.

We use the COVID-19 stringency index to investigate the relationship among COVID-19 government restriction policy, COVID-19 vaccination and stock markets. We find that the impact of the change rate of COVID-19 stringency index on stock returns turns from significant in the pre-vaccination period to insignificant in the post-vaccination period. Bad news from COVID-19 restriction policy cause more stock volatilities than good news. The advent of COVID-19 vaccination weakens the linkage of COVID-19 stringency index and stock market, while COVID-19 stringency index only plays a partially mediate role in the correlation between COVID-19 cumulative vaccination rate and stock market performance.

Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns.

In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock markets in the BRICS and G7 countries. We found that the anxiety indexes are volatile over time but have an overall downtown trend. The correlations between stock market returns and the epidemic anxiety indexes are time varying. We found a common feature across the countries studied, namely that the correlation becomes weaker and has smaller fluctuations after the announcement of the mRNA-based COVID-19 vaccine.