新冠肺炎对投资者情绪的非对称影响:来自NARDL模型的证据

IF 1.9 Q2 BUSINESS, FINANCE

Review of Behavioral Finance Pub Date : 2023-01-10 DOI:10.1108/rbf-02-2022-0068

Mehdi Mili, Asma Yahiya Al Amoodi, H. Bawazir

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引用次数: 1

摘要

目的本研究旨在探讨关于COVID-19的每日公告对股票市场投资者情绪的不对称影响。本研究使用非线性自回归分布滞后(NARDL)模型，该模型依赖于冠状病毒指标的正和负部分和分解。使用了五种投资者情绪，并对2020年2月24日至2021年3月25日的整个样本期进行了分析。研究结果显示，与每天公布的与COVID-19相关的新死亡病例相比，新病例对投资者情绪的影响更大。除了揭示每日新增COVID-19病例和新增死亡公告对短期和长期投资者情绪的重大影响外，本文还强调了这种关系在短期和长期中的非线性和不对称性。有关新冠肺炎的负面消息比正面消息对投资者情绪的影响更大。金融市场受到新冠肺炎疫情的严重影响。该研究首次衡量了投资者对新冠肺炎正面和负面消息的反应程度。有趣的是，这项研究考察了每日公布的COVID-19新病例和新死亡病例对投资者情绪的不对称影响，并对投资组合经理产生了许多影响。

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The asymmetric effect of COVID-19 on investor sentiment: evidence from NARDL model

PurposeThis study aims to investigate the asymmetric impact of daily announcements regarding COVID-19 on investor sentiment in the stock market.Design/methodology/approachThis study uses a Non-Linear Autoregressive Distribution Lag (NARDL) model that relies on positive and negative partial sum decompositions of the Coronavirus indicators. Five investor sentiments had been used and the analysis is conducted on the full sample period from 24th February 2020 to 25th March 2021.FindingsThe results show that new cases have a greater impact on investor sentiment compared to daily announcements of new deaths related to COVID-19. In addition to revealing a significant impact of new COVID-19 new cases and new death announcements on a daily basis on investor sentiment over the short- and long-term, this paper also highlights the nonlinearity and asymmetry of this relationship in the short and long run. Investors' sentiments are more affected by negative news regarding Covid 19 than positive news.Originality/valueFinancial markets have been severely affected by COVID-19 pandemic. This study is the first to measure the extent of reaction of investors to positive and negative announcements of COVID-19. Interestingly, this study examines the asymmetric effect of daily announcements on new cases and new deaths by COVID-19 on investor sentiments and derive many implications for portfolio managers.

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来源期刊

Review of Behavioral Finance BUSINESS, FINANCE-

CiteScore

4.70

自引率

5.00%

发文量

期刊介绍： Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.