News and Markets in the Time of COVID-19

53 Pages Posted: 1 Apr 2020 Last revised: 11 Jan 2023

See all articles by Harry Mamaysky

Harry Mamaysky

Columbia University - Columbia Business School

Date Written: January 10, 2023

Abstract

The onset COVID-19 was characterized by voluminous, negative news. Higher narrativity news topics – measured by textual proximity to articles describing the 1987 stock market crash and textual distance from Federal Reserve communications – were systematically associated with contemporaneous market responses, which were larger on high volatility days (hypersensitivity), and with markets-news feedback. Hypersensitive news topic-market pairs were associated with next-day reversals. A test using the news-markets relationship identifies a mid-March 2020 structural break, which was knowable by the end of April. Post break, markets and news became considerably less coupled, and hypersensitivity and reversals abated.

Keywords: asset pricing; NLP; natural disasters; behavioral finance

JEL Classification: G10, G12, G14, G41

Suggested Citation

Mamaysky, Harry, News and Markets in the Time of COVID-19 (January 10, 2023). Available at SSRN: https://ssrn.com/abstract=3565597 or http://dx.doi.org/10.2139/ssrn.3565597

Harry Mamaysky (Contact Author)

Columbia University - Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

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