Abstract
This study employs the NARDL model to investigate the asymmetric effects of COVID-19 news on the return and volatility of travel and leisure stocks in both the United States and the global context. Our findings reveal distinct longand short-term impacts of COVID-19 news on these stocks, exhibiting asymmetry and lag effects. Various types of news, including panic-inducing reports, entity-related coronavirus news, and misleading information, contribute to adjustments in travel and leisure stock returns over the long term. Notably, panic-inducing news has a more pronounced long-term impact on stock volatility compared to a higher volume of news sources reporting coronavirus-related information in similar situations. We argue that regulatory bodies can influence the stock market by ensuring the accuracy and reliability of news content.
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