News about COVID-19: Unraveling the Market Reactions and Investor Sentiment across Different Stock Exchanges

Abstrakt

This paper examines the impact of news regarding the spread of the coronavirus on stock market returns. We investigate this impact across different geographical regions and behavioral aspects through regression analysis. Specifically, we explore the relationship between stock returns and factors such as investors’ attention, the number of new positive COVID-19 cases and deaths, and government measures implemented during the pandemic. Our findings reveal that news concerning new deaths associated with the virus and attention towards the vaccine significantly affected stock markets in Europe, the United States, and globally. Notably, these effects were observed prior to the approval of the first vaccine. However, our analysis does not confirm these results for the Japanese and Chinese stock markets. As a result, we argue that the Japanese stock market presents an opportunity for diversification during similar shocks. These findings contribute to a deeper understanding of the dynamics between public health crises and financial markets.