Starts and refutations of the Covid-19 rumors:Evidence from the reaction of the stock market  

作　　者：Zhe Li Zixi Ling Jian Sun Congjie Yun 

机构地区：[1]School of Accountancy,Central University of Finance and Economics,Beijing,PR China [2]Henan Audit Division,Bank of China,Zhengzhou,PR China

出　　处：《China Journal of Accounting Research》2022年第4期47-65,共19页中国会计学刊（英文版）

基　　金：funded by the National Natural Science Foundation of China(Grant No.71672208 and71902210);National Social Science Foundation(Grant No.21BGL095);Humanities and Social Sciences Foundation of Ministry of Education of China(No.19YJC630092);Program for Innovation Research in Central University of Finance and Economics

摘　　要：By manually collecting data on Internet-based rumors concerning COVID-19,we investigate the market reactions to the spread of such rumors and the government’s refutation of them.We find that frightening(reassuring)rumors have a negative(positive)impact on investors.The refutation of frightening rumors triggers a positive market response,whereas the refutation of reassuring rumors does not cause a significant market reaction.Further analysis shows that there is a stock price drift when frightening rumors are refuted by governments.Our conclusions remain robust after considering endogeneity.Our findings support the notion that epidemic-related rumors affect investors’decisions,which add to literatures of the market responses of companies in the context of the COVID-19 pandemic and provide incremental evidence for the“the spiral of silence”theory.

关 键 词：COVID-19 rumors Market reaction Stock price drift Rumors refutation 

分 类 号：F832.51[经济管理—金融学]