Purpose

This study aims to investigate the asymmetric impact of daily announcements regarding COVID-19 on investor sentiment in the stock market.

Design/methodology/approach

This study uses a Non-Linear Autoregressive Distribution Lag (NARDL) model that relies on positive and negative partial sum decompositions of the Coronavirus indicators. Five investor sentiments had been used and the analysis is conducted on the full sample period from 24th February 2020 to 25th March 2021.

Findings

The results show that new cases have a greater impact on investor sentiment compared to daily announcements of new deaths related to COVID-19. In addition to revealing a significant impact of new COVID-19 new cases and new death announcements on a daily basis on investor sentiment over the short- and long-term, this paper also highlights the nonlinearity and asymmetry of this relationship in the short and long run. Investors' sentiments are more affected by negative news regarding Covid 19 than positive news.

Originality/value

Financial markets have been severely affected by COVID-19 pandemic. This study is the first to measure the extent of reaction of investors to positive and negative announcements of COVID-19. Interestingly, this study examines the asymmetric effect of daily announcements on new cases and new deaths by COVID-19 on investor sentiments and derive many implications for portfolio managers.

中文翻译：

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COVID-19 对投资者情绪的不对称影响：来自 NARDL 模型的证据

目的

本研究旨在调查有关 COVID-19 的每日公告对股市投资者情绪的不对称影响。

设计/方法论/途径

本研究使用非线性自回归分布滞后 (NARDL) 模型，该模型依赖于冠状病毒指标的正和负部分和分解。使用了五种投资者情绪，并对2020年2月24日至2021年3月25日的整个样本期进行了分析。

发现

结果显示，与每日公布的与 COVID-19 相关的新死亡病例相比，新病例对投资者情绪的影响更大。除了揭示每天新增的 COVID-19 新增病例和新增死亡公告对短期和长期投资者情绪的重大影响外，本文还强调了这种关系在短期和长期的非线性和不对称性跑步。投资者的情绪更容易受到有关 Covid 19 的负面消息的影响，而不是正面消息的影响。

原创性/价值

金融市场受到 COVID-19 大流行的严重影响。这项研究首次衡量了投资者对 COVID-19 正面和负面公告的反应程度。有趣的是，这项研究探讨了每日公布的 COVID-19 新病例和新死亡人数对投资者情绪的不对称影响，并对投资组合经理产生了许多影响。