Impact Of The Epidemic,investor Sentiment,and Stock Pricing Efficiency

At the beginning of 2020,the COVID-19 spread all over the world,which not only seriously affected the normal conduct of economic activities,but also caused continued turbulence in the global financial market,and damaged the resource allocation function of China’s capital market.Therefore,this paper takes the impact of COVID-19 epidemic as a typical event to study the impact of COVID-19 epidemic on China’s stock pricing efficiency,as well as the transmission mechanism of investor sentiment on stock pricing efficiency under the impact of the epidemic.This paper selects 3824 non-ST non-financial industry stocks in China’s stock market as the research sample.From the perspective of the speed of stock price information response,it uses the daily return of individual stocks to regress with the current market return and the market return with four lag periods to obtain the goodness of fit,constructs the stock pricing efficiency index,and takes February 2020 as the time point of epidemic impact,and uses the double difference model to conduct empirical research.Further,according to the cross-sectional characteristics of the daily opening price and closing price of stocks,this paper uses the overnight earnings as an indicator to measure the sentiment of individual stocks of listed companies,and explores the transmission path of the epidemic through investor sentiment to the pricing efficiency of the stock market.Finally,according to the high and low group regression of the sample stock turnover rate,price-to-book ratio and institutional shareholding ratio,this paper explores how the pricing efficiency of different types of underlying stocks is affected differently in this epidemic.This paper finds the following conclusions through research: First,the COVID-19 significantly reduces the pricing efficiency of China’s stock market.Second,investor sentiment has a strong explanation for the decline in the pricing efficiency of China’s stock market after the outbreak of the epidemic.Investor sentiment is more pessimistic than in the same period in the past.The transmission path of "epidemic impact-investor sentiment fluctuation-decline in pricing efficiency" is established.Third,the pricing efficiency of different types of underlying stocks is affected differently by the epidemic,which shows that under the impact of the epidemic,the pricing efficiency of stocks with low turnover rate,low price-to-book ratio and high institutional shareholding ratio has declined more significantly.Finally,based on the above conclusions,this paper puts forward relevant suggestions from the perspectives of government,enterprises and individual investors.