Table 2.

Variable definitions and summary statistics.

Panel A: Variable Definitions
Variable	Source	Definition
Key dependent variables
Ri	Wind Database	Daily returns of Chinese stock market listed firms
Turnover	Wind Database	Daily turnover rates of Chinese listed firms
Net_margin	Wind Database	Daily net value amount of margin trading activity
Net_short	Wind Database	Daily net volume of short-selling activity
Turnover_margin	Wind Database	Daily net turnover of margin trading activity
Turnover_short	Wind Database	Daily net turnover of short-selling activity
Key independent variables
Sent_md	Official media	Daily COVID-19 sentiment developed from news media
Sent_wb	Sina Weibo	Daily COVID-19 sentiment developed from Sina Weibo
Sent_Baker	Wind Database	Baker and Wurgler (2006, 2007)
mdPos	Official media	Daily proportion of optimistic news on the official media
mdNeu	Official media	Daily proportion of neutral news on the official media
mdNeg	Official media	Daily proportion of pessimistic news on the official media
wbPos	Sina Weibo	Daily proportion of optimistic news on Sina Weibo
wbNeu	Sina Weibo	Daily proportion of neutral news on Sina Weibo
wbNeg	Sina Weibo	Daily proportion of pessimistic news on Sina Weibo
Main control variables
Rm	Wind Database	Daily value-weighted returns of the Chinese stock market
Gold	Wind Database	Daily returns of AU.SHF
Cash	Wind Database	Cash holdings and equivalents divided by total assets (2019Q4)
Leverage	Wind Database	Interest-bearing bonds divided by total assets (2019Q4)
Roa	Wind Database	Return on total assets (2019Q4)
Mkt_cap	Wind Database	Logarithm of the market value of firms (2019Q4)
BM	Wind Database	The book-to-market ratio of listed firms (2019Q4)

Panel B: Summary Statistics
This table reports the summary statistics for the variables in our analysis. It contains the P25, P50, P75 percentiles means, standard deviations (Sd) and the number of observations.
Variables	P25	P50	P75	Mean	Sd	N
Ri	−1.503	0.142	1.672	0.132	3.408	208481
Turnover	0.919	1.948	4.243	3.425	4.067	208481
Sent_md	−0.440	0.986	0.853	1.047	0.346	210843
Sent_wb	−0.719	0.112	0.671	−0.013	0.367	210843
Sent_Baker	−0.249	0.148	0.516	0.000	1.000	210843
mdpos	0.383	0.541	0.630	0.519	0.130	210843
mdneu	0.168	0.240	0.431	0.300	0.133	210843
mdneg	0.154	0.163	0.199	0.181	0.044	210843
wbpos	0.308	0.398	0.459	0.385	0.097	210843
wbneu	0.165	0.200	0.255	0.226	0.085	210843
wbneg	0.346	0.377	0.431	0.389	0.065	210843
Rm(value-weighted)	−0.355	0.354	0.989	0.0754	1.711	210843
Rm(Equal-Weighted)	−0.548	0.304	1.290	0.159	2.015	210843
Gold	−0.338	0.210	0.506	0.093	1.092	210843
Cash	0.109	0.183	0.297	0.224	0.159	210558
Leverage	0.022	0.129	0.263	0.168	0.292	210558
Roa	1.220	3.830	7.442	2.733	14.427	210615
Mkt_Cap	21.786	22.352	23.155	22.557	1.069	210444
BM	0.246	0.397	0.630	0.462	0.356	207993