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Pandemic-induced fear and stock market returns: Evidence from China
We construct a pandemic-induced fear (PIF) index to measure fear of the COVID-19 pandemic using Internet search volumes of the Chinese local search engine and empirically investigate the impact of fear of the pandemic on Chinese stock market returns. A reduced-bias estimation approach for multivaria...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620495/ https://www.ncbi.nlm.nih.gov/pubmed/38013955 http://dx.doi.org/10.1016/j.gfj.2021.100644 |
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author | Su, Zhi Liu, Peng Fang, Tong |
author_facet | Su, Zhi Liu, Peng Fang, Tong |
author_sort | Su, Zhi |
collection | PubMed |
description | We construct a pandemic-induced fear (PIF) index to measure fear of the COVID-19 pandemic using Internet search volumes of the Chinese local search engine and empirically investigate the impact of fear of the pandemic on Chinese stock market returns. A reduced-bias estimation approach for multivariate regression is employed to address the issue of small-sample bias. We find that the PIF index has a negative and significant impact on cumulative stock market returns. The impact of PIF is persistent, which can be explained by mispricing from investors' excessive pessimism. We further reveal that the PIF index directly predicts stock market returns through noise trading. Investors' Internet search behaviors enhance the fear of the pandemic, and pandemic-induced fear determines future stock market returns, rather than the number of cases and deaths caused by the COVID-19 pandemic. |
format | Online Article Text |
id | pubmed-9620495 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-96204952022-10-31 Pandemic-induced fear and stock market returns: Evidence from China Su, Zhi Liu, Peng Fang, Tong Global Finance Journal Article We construct a pandemic-induced fear (PIF) index to measure fear of the COVID-19 pandemic using Internet search volumes of the Chinese local search engine and empirically investigate the impact of fear of the pandemic on Chinese stock market returns. A reduced-bias estimation approach for multivariate regression is employed to address the issue of small-sample bias. We find that the PIF index has a negative and significant impact on cumulative stock market returns. The impact of PIF is persistent, which can be explained by mispricing from investors' excessive pessimism. We further reveal that the PIF index directly predicts stock market returns through noise trading. Investors' Internet search behaviors enhance the fear of the pandemic, and pandemic-induced fear determines future stock market returns, rather than the number of cases and deaths caused by the COVID-19 pandemic. Elsevier Inc. 2022-11 2021-04-24 /pmc/articles/PMC9620495/ /pubmed/38013955 http://dx.doi.org/10.1016/j.gfj.2021.100644 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Su, Zhi Liu, Peng Fang, Tong Pandemic-induced fear and stock market returns: Evidence from China |
title | Pandemic-induced fear and stock market returns: Evidence from China |
title_full | Pandemic-induced fear and stock market returns: Evidence from China |
title_fullStr | Pandemic-induced fear and stock market returns: Evidence from China |
title_full_unstemmed | Pandemic-induced fear and stock market returns: Evidence from China |
title_short | Pandemic-induced fear and stock market returns: Evidence from China |
title_sort | pandemic-induced fear and stock market returns: evidence from china |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620495/ https://www.ncbi.nlm.nih.gov/pubmed/38013955 http://dx.doi.org/10.1016/j.gfj.2021.100644 |
work_keys_str_mv | AT suzhi pandemicinducedfearandstockmarketreturnsevidencefromchina AT liupeng pandemicinducedfearandstockmarketreturnsevidencefromchina AT fangtong pandemicinducedfearandstockmarketreturnsevidencefromchina |