How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment

Authors

  • Sijia Zhao School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China
  • Ying Liu School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China & Laboratory of Philosophy and Social Sciences, Ministry of Education, Beijing, China
  • Benfu Lv School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China & 3China Institute for Innovation and Development Strategy, Beijing, China, China Intercontinental Press, Beijing, China.
  • Zijian Shangguan China Institute for Innovation and Development Strategy, Beijing, China, China Intercontinental Press, Beijing, China.

DOI:

https://doi.org/10.32479/ijefi.13043

Abstract

During dramatic public health shocks, the impact of anti-epidemic policies on public sentiment is uncertain, and public sentiment has a significant impact on the stock market. But the relationship between the three is not clear. This paper uses government information release to reflect anti-epidemic policies, uses personal weibo to calculate public sentiment, and analyzes the relationship between Government information release, public sentiment and stock market. Through the Bi-LSTM classification model analysis about 200,000 microblog data during COVID-19, and build panel data regression model. The results show that: public sentiment have a significant positive impact on stock returns; Government information release have a significant positive impact on public sentiment; public sentiment play a intermediating role between government information release and stock market; Influenced by the enterprise size and the industry it belongs to, there is heterogeneity in public sentiment's impact.

Keywords:

Dramatic public health shocks, Public sentiment, Stock market response, Government information release

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Published

2022-05-17

How to Cite

Zhao, S., Liu, Y., Lv, B., & Shangguan, Z. (2022). How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment. International Journal of Economics and Financial Issues, 12(3), 60–67. https://doi.org/10.32479/ijefi.13043

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Articles