Analysing the impacts of unscheduled news events on stock market contagion during the epidemic
研究了COVID-19疫情期间美国和中国非计划新闻发布对全球股市传染的影响，发现美国新闻影响更大，市场对坏消息反应更强烈，且条件方差和投资者情绪在危机传播中起作用。
Abstract This paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity markets through a quantile analysis framework. The empirical results are mixed: news events originating in the United States have a greater impact on market contagion compared with those originating in China, especially at lower quantiles. Stock markets respond asymmetrically to good news versus bad news, and the latter lead to a sharper common fall among the markets than the boost to the market caused by good news. We also find evidence that conditional variance and investor sentiment play some role in the spread of financial market crises, despite differences in extent and direction.