COVID-19期间中国债券市场与官方媒体语气的不对称关系：来自非线性ARDL模型的证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-04-05 DOI:10.1016/j.jbef.2025.101048

Chao Deng , Keyuan Chen , Li Yu , Yinxi He , Yun Hong , Yanhui Jiang

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引用次数: 0

摘要

在本研究中，我们使用非线性自回归分布滞后模型检验了中国COVID-19大流行期间国家媒体-中国中央电视台（CCTV）的语气与债券市场之间的不对称关系。我们发现，中央电视台关于新冠肺炎新闻的语气变化与债券市场总收益之间存在长期协整但不对称的关系，而短期分析发现，同期债券市场对中央电视台负面语气变化的反应强于对正面语气变化的反应。行业债券市场的结果表明，短期和长期市场对中央电视台语气变化的反应都更强烈的是政府支持的债券，包括国债、市政债券和政策市场债券。对于不同信用评级的债券，我们记录了AAA信用评级组对CCTV语气变化的不显著长期反应。最后，对于不同期限的债券，我们发现无论是短期还是长期，长期国债对中央电视台语气的变化都不敏感。

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The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model

In this study, we examine the asymmetric relationship between the tone of state media—China Central Television (CCTV)—and the bond market during the COVID-19 pandemic in China using a nonlinear autoregressive distributed lag model. We find a long-term cointegrated but asymmetric relationship between changes in the tone of CCTV News on COVID-19 and aggregate bond market returns, while the short-run analysis finds a stronger contemporaneous bond market reaction to negative CCTV tone changes than to positive ones. Sectoral bond market results indicate that both short- and long-term market reactions to changes in CCTV tone are stronger in bonds backed by the government, including treasury bonds, municipal bonds, and policy market bonds. Regarding bonds with different credit ratings, we document a nonsignificant long-term reaction to CCTV tone changes in the AAA credit rating group. Finally, for bonds with various maturities, we find that long-maturity treasury bonds are insensitive to changes in CCTV tone in both the short and long run.

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.