文章基本信息

标题：How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment
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作者：Sijia Zhao ; Ying Liu ; Benfu Lv 等
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2022
卷号：12
期号：3
DOI：10.32479/ijefi.13043
语种：English
出版社：EconJournals
摘要：During dramatic public health shocks, the impact of anti-epidemic policies on public sentiment is uncertain, and public sentiment has a significant impact on the stock market. But the relationship between the three is not clear. This paper uses government information release to reflect anti-epidemic policies, uses personal weibo to calculate public sentiment, and analyzes the relationship between Government information release, public sentiment and stock market. Through the Bi-LSTM classification model analysis about 200,000 microblog data during COVID-19, and build panel data regression model. The results show that: public sentiment have a significant positive impact on stock returns; Government information release have a significant positive impact on public sentiment; public sentiment play a intermediating role between government information release and stock market; Influenced by the enterprise size and the industry it belongs to, there is heterogeneity in public sentiment's impact.