Global contagion of US COVID-19 panic news

被引：1

作者：

Kang, Yong Joo ^{[1
]}

Park, Dojoon ^{[2
]}

Eom, Young Ho ^{[2
]}

机构：

[1] Thompson Rivers Univ, Bob Gaglardi Sch Business & Econ, 805 TRU Way, Kamloops, BC V2C 0C8, Canada

[2] Yonsei Univ, Sch Business, 50 Yonsei Ro, Seoul 03722, South Korea

来源：

EMERGING MARKETS REVIEW | 2024年 / 59卷

关键词：

COVID-19; Pandemic; Panic index; Sentiment; Contagion; STOCK RETURN PREDICTABILITY; INVESTOR SENTIMENT; MARKET; TRANSMISSION; SPILLOVER; SEARCH; CRISIS; MODEL;

D O I：

10.1016/j.ememar.2024.101116

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the contagion of US COVID-19 panic news, measured by the sentiment-based RavenPack US Panic Index, on the local stock market returns of 48 countries. Local stock market returns are found to be more significantly negatively associated with the US panic news than local panic news. Our results show that a 1% increase in the US Panic Index reduces local stock returns by 1.44%. The result holds for regional and subregional groupings and are robust to alternative measures of COVID-19 information. Furthermore, our contagion channel analysis shows that the differences of opinion channel is the key contagion transmission channel from the US to local markets. This alludes to the investor behavior contagion view, and not the fundamental contagion view, being the main driver of global contagion during the pandemic.

引用

页数：27

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