Impact of News Related to Covid-19 on Stock Market Returns in Five Major ASEAN Countries

Abstract

The sudden tightening of global finances, unprecedented and dominating news of how negative COVID-19 is has affected the global monetary, and how pessimistic the public sentiment towards the COVID-19 virus pandemic is itself has caused uncertainty in the stock market. The purpose of this study is to analyze the relationship between COVID-19-related news and stock market returns. RavenPack Coronavirus Media Monitor was used to explain important news issues related to COVID-19 with news indices such as panic, media hype, fake news, country sentiment, infodemic, and media coverage. With the quantile regression analysis technique, the results of the study were divided into three research periods. For the research period of January 2020 to March 2020, it was found that the variables that affect stock market returns are media hype, fake news, country sentiment and infodemic index; for the research period of April 2020 to December 2020, it was found that the variables that affect stock market returns are panic, fake news and country sentiment index; while for the period January 2020 to December 2020 the variables that affect stock market returns are panic, fake news, country sentiment and infodemic index.