PHEIC, Investor Sentiment, Vaccination, and Stock Market: The Case Study on COVID-19
DOI:
https://doi.org/10.14456/ndj.2024.2Keywords:
ARDL , VAR, ECM, COVID-19, Investor Sentiment, Vaccination, Stock MarketAbstract
The study aims to research the association among the PHEIC, investor sentiment, vaccination, and stock market using case study on COVID-19. The data includes seven variables’ daily data from Mar 2021 to Oct 2022 in China and analyzed the association by co-integration test, the ARDL model, and the VAR model. Based on the co-integration test and ARDL model, the results show a significant long-term and short-term relationship among the COVID-19 cases, investor sentiment, COVID-19 vaccination, and the stock market. The impulse response function analysis found that when the COVID-19 cases, investor sentiment, and COVID-19 vaccination respectively received the impulse, the rest variables showed rapid and significant response in the initial periods but converge by the time except COVID-19 cases and vaccination seems long effect response. This study uses econometrics to analysis the association, which contributes to enrich the knowledge of behavior finance during the pandemic. And, the study takes most all the potential impact variables, determining the importance of investor sentiment and COVID-19 vaccination during the pandemic. This study enables investors and policymakers to better understand as COVID-19 as one kind of PHEIC for effective decision-making, risk management and sustainable protection on PHEIC.
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