COVID-19 Sentiment and Chinese Stock Market: Official Media News and Sina Weibo

Abstract

We quantitatively measure the Chinese stock market’s reaction to the COVID-19 sentiments. Using 6.3 million textual data from both Official News media and Sina Weibo, we develop two COVID-19 sentiment indexes which capture the moods related to COVID-19. Our sentiments are real-time forward-looking indexes in stock market. From December 17, 2019 to March 13, 2020, we find that stock returns and turnover rates were positively predicted by the COVID-19 sentiments. Furthermore, the stock markets reacted more proactively to the growth sentiments. Overall, the results illustrate how the effects from the pandemic crisis were amplified through the sentiments.

Keywords: COVID-19, Sentiment, Chinese stock market, Official media news, Sina Weibo

JEL Classification: G12, G17, G41