• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Fiona Chu
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HOME > Archive > 2022 > Volume 10 Number 2 (Apr. 2022) >
JOEBM 2022 Vol.10(2): 115-119 ISSN: 2301-3567
DOI: 10.18178/joebm.2022.10.2.683

COVID-19's Impact on Investors Sentiment and Price Behaviour: Empirical Evidence from Chinese Stock Market

Yaogeng He, Zhirui Xu, and Xueying Zhan

Abstract—Changes in investor sentiment are closely related to fluctuations of stock price. However, there seems to be little existing research that addresses the question of why investor sentiment changes. The purpose of this paper is to examine the impact of the COVID-19 on Chinese investor sentiment and stock price behavior from an event-driven perspective. First of all, this paper follows the method of Principal Component Analysis to form an investor sentiment index. Then, after the results were obtained, the index was incorporated into a simple linear regression model including stock prices and two SVAR models that includes stock prices and epidemic severity. Finally, the correlation test is carried out. The empirical results show that, first, the investor sentiment is overally higher and fluctuates more volatile after the COVID-19. Secondly, the relationship between investor sentiment and stock prices becomes insignificant during the epidemic, and stock prices revert to the intrinsic value corresponding to fundamental factors. Third, with the normalization of epidemic, the impact of the epidemic on investor sentiment gradually disappears after 10 months, but the impact of the epidemic on stock prices lasts longer, indicating that the impact of the epidemic on fundamentals is relatively deep and long-lasting. This paper may provide a way of thinking to better understand the formation of stock prices and investor behavior.

Index Terms—Chinese stock market, COVID-19, investor sentiment, price behavior.

Yaogeng He is with School of Business, Sichuan University, 610065, Chengdu, China. Zhirui Xu is with School of Economics, Sichuan University, 610065, Chengdu, China (e-mail: xuzhirui@stu.scu.edu.cn). Xueying Zhan is with International Business Department, Jilin International Studies University, 130117, Changchun, China.

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Cite:Yaogeng He, Zhirui Xu, and Xueying Zhan, "COVID-19's Impact on Investors Sentiment and Price Behaviour: Empirical Evidence from Chinese Stock Market," Journal of Economics, Business and Management vol. 10, no. 2, pp. 115-119, 2022.

Copyright © 2022 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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