COVID-19, public attention and the stock market

This paper investigates the impact of coronavirus disease 2019 (COVID-19) on the Chinese stock market We show that the COVID-19 outbreak not only hurts the stock returns but also affects the stock price sensitivity to firm-specific information We document heterogeneous effects of the epidemic infection scale and the public attention about the pandemic The stock market response to firm-specific information is decelerated (accelerated) by the public attention (infection scale) Moreover, the decreasing (increasing) effect of the public attention (infection scale) on such response is more intensive to positively toned (negatively toned) firm-specific news articles Finally, we observe price reversal (momentum) following the public attention (infection scale) © 2020 Accounting and Finance Association of Australia and New Zealand