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

• Main Authors: XUE, Fujing, LI, Xiaoyu, ZHANG, Ting, HU, Nan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: COVID-19 pandemic; Big data; Stock market; Machine learning; Asian Studies; Numerical Analysis and Scientific Computing; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/8040
• Institution: Singapore Management University

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.