This article develops a dynamic panel model to examine the association among coronavirus outbreak, investor attention, social isolation, investor sentiments and stock returns in the German Stock exchange. The results of the two-step GMM estimator show a significant effect of coronavirus disease 2019 (COVID-19) cases on the Frankfurt Stock Exchange after controlling for calendar anomalies, meteorological conditions, country-specific factors and oil returns. Results also show that a higher level of stock returns during social isolation (lockdown period) is explained by investor attention to buy underpriced stocks. Thus, temporary social isolation enhances an investor’s ability to make better investment decisions. Investor sentiment indicators (momentum and liquidity) are also positively associated with the stock return and partially mediate the COVID-returns link, but they have no direct effect on investor attention. The stock market attracts investor attention under good news shocks (recovered cases) when investor sentiments are optimistic. Our results are robust across the transparency level of firms and their size.

本文开发了一个动态面板模型，以检验冠状病毒爆发，投资者注意，社会隔离，投资者情绪和德国证券交易所股票回报之间的关联。两步GMM估计器的结果显示，在控制了日历异常，气象条件，特定国家因素和回油之后，2019年冠状病毒病（COVID-19）病例对法兰克福证券交易所产生了重大影响。结果还表明，在社会隔离期（锁定期）内，股票回报率较高的原因是投资者对购买价格偏低的股票的关注。因此，暂时的社会隔离增强了投资者做出更好的投资决策的能力。投资者情绪指标（动量和流动性）也与股票收益率呈正相关，并部分地调节了COVID收益率链接，但它们并没有直接影响投资者的注意力。当投资者情绪乐观时，在好消息冲击下（已恢复的案例），股票市场吸引了投资者的注意力。在公司透明度和规模方面，我们的结果是可靠的。