How Press Conferences and their Sentiment Affected Stock Market Volume and Returns during Covid-19

Sammanfattning: This paper investigates how press conferences held by the Public Health Agency of Sweden and their sentiment affected trading volume and returns on Nordic stock markets during the Covid-19 pandemic. We show that the occurrence of a press conference significantly increased trading volume and caused a negative pressure on returns in Sweden, Norway, and Denmark. We also find a positive correlation between press conference sentiment and returns in Sweden, Finland, and Denmark. Furthermore, we find evidence that press conferences had a larger effect on market behavior during times of high uncertainty. Countries in which press conferences caused a significant increase in trading volume experienced a larger effect during the first period of the pandemic than during its later stages. Moreover, we show that during the first period of the pandemic, sentiment was positively correlated with returns in all Nordic countries, and that press conferences predicted a negative pressure on market returns in all countries except Iceland. Both the explanatory value of sentiment and the negative pressure on returns decreased as the pandemic developed. Finally, we show that press conferences only caused an increase in trading volume in Sweden, Norway, and Denmark when death tolls in Sweden were high or moderate.