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The COVID-19 pandemic outbreak, an exogenous shock, affected the world economy and financial markets in 2020. We investigate the COVID-19 breaking news impact on the Chinese stock market, identifying the risk spillover channels using an event analysis and orthogonal decomposition method. Our results show: (1) the COVID-19 breaking news impact on the stock market is significant despite its relatively short duration, more pronounced for industries associated with shutdowns and travel restrictions during the pandemic. (2) It significantly impacts the risk spillovers across industries; spillover directions reflect the “flight-to-quality” behavior of investors. (3) It mainly impacts the stock market through the investor sentiment channel. To mitigate this, regulators should take adequate measures to prevent panic and build investor confidence.

The Risk Spillover Effect of COVID-19 Breaking News on the Stock Market