By manually collecting data on Internet-based rumors concerning COVID-19,we investigate the market reactions to the spread of such rumors and the government’s refutation of them.We find that frightening(reassuring)ru...By manually collecting data on Internet-based rumors concerning COVID-19,we investigate the market reactions to the spread of such rumors and the government’s refutation of them.We find that frightening(reassuring)rumors have a negative(positive)impact on investors.The refutation of frightening rumors triggers a positive market response,whereas the refutation of reassuring rumors does not cause a significant market reaction.Further analysis shows that there is a stock price drift when frightening rumors are refuted by governments.Our conclusions remain robust after considering endogeneity.Our findings support the notion that epidemic-related rumors affect investors’decisions,which add to literatures of the market responses of companies in the context of the COVID-19 pandemic and provide incremental evidence for the“the spiral of silence”theory.展开更多
基金funded by the National Natural Science Foundation of China(Grant No.71672208 and71902210)National Social Science Foundation(Grant No.21BGL095)+1 种基金Humanities and Social Sciences Foundation of Ministry of Education of China(No.19YJC630092)Program for Innovation Research in Central University of Finance and Economics
文摘By manually collecting data on Internet-based rumors concerning COVID-19,we investigate the market reactions to the spread of such rumors and the government’s refutation of them.We find that frightening(reassuring)rumors have a negative(positive)impact on investors.The refutation of frightening rumors triggers a positive market response,whereas the refutation of reassuring rumors does not cause a significant market reaction.Further analysis shows that there is a stock price drift when frightening rumors are refuted by governments.Our conclusions remain robust after considering endogeneity.Our findings support the notion that epidemic-related rumors affect investors’decisions,which add to literatures of the market responses of companies in the context of the COVID-19 pandemic and provide incremental evidence for the“the spiral of silence”theory.
