PHEIC, Investor Sentiment, Vaccination, and Stock Market: Experiment on COVID-19
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Abstract
The study aims to research the association among the PHEIC, investor sentiment, vaccination, and stock market using COVID-19 related data as the variables. The data includes seven variables from Mar 2021 to Oct 2022 and is analyzed by the VAR method through R programming. The results show a valid association and long-term co-integration relationship among the COVID-19 cases, investor sentiment, COVID-19 vaccination, and the stock market. During the impulse response function analysis, it was 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 except the market turnover rate and market index return. This study contributes to the knowledge of behavior finance during the pandemic. 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 PHEIC for effective decision-making, risk management and sustainable protection.
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