Abstract
This study investigates the effect of fake news, panic news, and media hype on stock market returns amid COVID-19 in Pakistan. It also scrutinizes the asymmetric effect of bad and good news on stock market volatility. For empirical analysis, data of six indicators related to news collected from Ravenpack. The data is ranged from the date of first COVID-19 case recognition dated February 26, 2020, to October 26, 2020. This time span consist on the 166 working days in which stock market remains open. The estimates of the Multivariate EGARCH model revealed that fake news and media hype is negatively associated with the stock market returns. The negative effect of media hype is greater than fake news. The aftermath of variance equation suggests that media hype, infodemic, and panic new increase the stock market volatility. The findings of the study suggests that strong co-ordination among NCOC and Information ministry may result in stabilizing the stock market return by enhancing the investors’ confidence and reducing the panic.
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