Stock market reactions to the COVID-19 pandemic: The moderating role of corporate big data strategies based on Word2Vec

Publication Type

Journal Article

Publication Date

9-2021

Abstract

By developing a machine learning-based measure of corporate big data strategies, this study empirically explores how stock markets respond to the COVID-19 pandemic and whether corporate big data strategies make firms immune to the pandemic effect. We find that except for information technology and health care sectors, firms in most sectors in China are negatively affected by the COVID-19 outbreak. Among these firms, an increase in the number of daily new confirmed cases in the city of a firm's headquarters is associated with a decrease in its stock prices, however, such a decline is attenuated for firms with a high emphasis on big data strategies. Our results are robust when we use COVID-19 cases at the whole country level.

Keywords

COVID-19 pandemic, Big data, Stock market, Machine learning

Discipline

Asian Studies | Numerical Analysis and Scientific Computing | Portfolio and Security Analysis

Research Areas

Information Systems and Management

Publication

Pacific Basin Finance Journal

Volume

68

First Page

1

Last Page

13

ISSN

0927-538X

Identifier

10.1016/j.pacfin.2021.101608

Publisher

Elsevier

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1016/j.pacfin.2021.101608

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