Template-Type: ReDIF-Article 1.0 
Author-Name: Xin Li
Author-Email:  XinLi-Hsin@outlook.com
Author-Workplace-Name:  Institute of Finance and Development School of Economics and School of Finance, Nankai University, Tianjin, China
Title: Asymmetric Impact of COVID-19 on China's Stock Market Volatility - Media Effect or Fact?
Abstract:  This study examines the asymmetric effects of positive and negative changes in media attention to COVID-19 and daily new confirmed COVID-19 cases on China’s stock market volatility by utilizing the nonlinear autoregressive distributed lag (NARDL) model. Empirical results show that media attention has a pronounced effect on China’s stock market volatility and this effect is greater than the direct impact of COVID-19. Finally, several important policy implications arise from these findings.
Classification-JEL:  I10,G15
Keywords:  volatility,media attention,covid-19
Journal:  Asian Economics Letters
Pages: 1-6
Volume: 2
Issue: 4
Year:  2021
DOI:  2021/10/06
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/24143-asymmetric-impact-of-covid-19-on-china-s-stock-market-volatility-media-effect-or-fact.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:47