The Impact Of The COVID-19 Epidemic On The Stock Returns Of Listed Companie

The impact of emergencies on the financial market has aroused the concern of the academic community since the outbreak of SARS in 2003 and the financial crisis in 2008.In early 2020,a new disease called COVID-19 swept across the world.The occurrence of any emergencies will quickly spread to other countries and regions in globalization.Financial risks which has great effects on stock returns have increased significantly compared with the past under this condition,and its internal mechanism is very complex.However,there are only a few studies on the internal mechanism of the impact of the pandemic on stock returns.Most of these studies only consider some simple mediation problems,and lack in-depth research on its internal mechanism logic.Therefore,it is necessary to further discuss the mechanism and impact mode of COVID-19 on corporate stock returns,which is not only conducive to enriching the theoretical research on public health emergencies,but also conducive to improving the response strategy,stabilizing the economy and improving the public’s risk response awareness.In order to further strengthen the mechanism analysis,this paper first summarizes the research on the sudden events,the influencing factors of stock returns and the correlation between them from the existing studies at home and abroad.On this basis,the panel data of2662 domestic A-share listed companies’ stock returns in 36 weeks from January 20,2020 to September 30,2020 were selected,and the two-way panel regression model was used to test and analyze the impact effect and heterogeneity of COVID-19 on stock returns.Through the moderated mediating effect model,the role paths of the two moderating indicators of enterprise innovation and corporate information transparency are verified,and the impact of the COVID-19 pandemic on the stock returns of listed companies in China is comprehensively analyzed.The results show that:(1)under the background of COVID-19,the decline of stock returns of listed companies in China is associated with a significant increase in the severity of COVID-19.(2)Enterprises in the pharmaceutical and health industry,state-owned enterprises,domestic enterprises,and enterprises with low competition in the product market are more stable in the epidemic,and their stock returns are less affected by the epidemic.(3)The impact of COVID-19 on stock returns of listed companies is indirect,mediated by investor sentiment.The COVID-19 pandemic could drag down stock returns by reducing investor enthusiasm.(4)Enterprise innovation and corporate information transparency have partially positive moderating effects,both of which can weaken the negative correlation between the severity of COVID-19 development and individual stock returns;And through the latter half of the intermediary path of investor sentiment,enterprise innovation and corporate information transparency can strengthen the positive correlation between investor sentiment and stock returns.Corporate information transparency can also positively regulate the negative transmission relationship between the severity of the epidemic and investor sentiment,and play a stabilizing role in the company’s stock returns.Based on the above conclusions,this paper puts forward suggestions for Chinese listed companies to resist the epidemic from the perspectives of the government,enterprises and investors from a new perspective.