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Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market
15 references·11 citing·53 second hop
Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market (2021)Does non-fundamental news related to COVI…The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment (2020)The People’s bank of China’s …Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (2020)Impact of macroeconomic news,…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Producing a worthy illness: Personal crowdfunding amidst financial crisis (2017)Producing a worthy illness: P…Worrying about the Stock Market: Evidence from Hospital Admissions (2016)Worrying about the Stock Mark…The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds (2014)The Impact of the Financial C…Stock or stroke? Stock market movement and stroke incidence in Taiwan (2012)Stock or stroke? 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We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Macroeconomic news and bond m…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets (2024)Market Shocks and Stock Volat…Pandemic and tax avoidance: Cross-country evidence (2023)Pandemic and tax avoidance: C…How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms? 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New evidence from infectious disease pandemics (2022)Do intangible assets provide …COVID-19 pandemic and the dependence structure of global stock markets (2021)COVID-19 pandemic and the dep…COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach (2021)COVID-19 Pandemic and Romania…The Adjustment of Stock Prices to New Information (1969)Using daily stock returns (1985)The Adjustment of Stock Prices to New Information (2003)The effects of terrorism and war on the oil price–stock index relationship (2013)Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach (2019)Terrorist attacks and investor risk preference: Evidence from mutual fund flows (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross-Section of Expected Stock Returns (1992)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Informed and Strategic Order Flow in the Bond Markets (2007)Asset pricing: A tale of two days (2014)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Asset Prices in an Exchange Economy (1978)Prospect Theory: An Analysis of Decision under Risk (1979)The equity premium: A puzzle (1985)The impact of conventional and unconventional monetary policy on investor sentiment (2015)A News-Utility Theory for Inattention and Delegation in Portfolio Choice (2018)Emotions in the Stock Market (2019)Rise of the Network Society: The Information Age: Economy, Society and Culture (1996)Crowdfunding: Tapping the right crowd (2013)Crowdfunding our health: Economic risks and benefits (2017)The Wealth of Networks (2017)Reward crowdfunding contribution as planned behaviour: An extended framework (2019)Radical Care (2020)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Asset pricing with liquidity risk (2005)A long memory property of stock market returns and a new model (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Should Macroeconomic Forecasters Use Daily Financial Data and How? 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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
  • 1998Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1342 cited
  • 2017Producing a worthy illness: Personal crowdfunding amidst financial crisis257 cited
  • 2009The Impact of Terrorist Attacks on International Stock Markets224 cited
  • 2016Worrying about the Stock Market: Evidence from Hospital Admissions160 cited
  • 2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin

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136 cited
  • 2014The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds100 cited
  • 2008Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news96 cited
  • 2020The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment60 cited
  • 2012Stock or stroke? Stock market movement and stroke incidence in Taiwan30 cited
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