During crisis periods, investors often engage in short selling of stocks, in line with their pessimistic view of the present and future market performance as well as with the hope to repurchase the stocks back in the future at much lower prices. This attitude not only affects stock returns, but also may lead to significant risk transmission among assets. Addressing this concern, our study examines the returns and volatility connectedness between media coverage index (MCI) and high short interest stocks during the recent Covid-19 pandemic. We document MCI as a net transmitter for all returns series, whereas the results for volatility series exhibits binary behavior, acting as either a transmitter or recipient depending on the considered sector of economic activity. We highlight that the healthcare and energy sector stocks behave as net recipients of both, returns and volatility; hence, a certain caution is required while including them in investment portfolios. Finally, the causality test indicates that the MCI is more strongly connected with stock returns than with volatilities, thus signaling that media, may not only provoke a rise in stock volatility, but cause intense risk transmission especially during a systemic crisis similar to Covid-19.

在危机时期，投资者往往出于对当前和未来市场表现的悲观看法，以及希望在未来以低得多的价格回购股票，而经常进行股票卖空。这种态度不仅影响股票收益，还可能导致资产间的重大风险传导。为了解决这一问题，我们的研究考察了最近 Covid-19 大流行期间媒体报道指数 (MCI) 与高空头兴趣股之间的回报和波动性关联。我们将 MCI 记录为所有收益序列的净传输器，而波动率序列的结果表现出二元行为，根据所考虑的经济活动部门充当传输器或接收器。我们强调，医疗保健和能源板块的股票表现为回报和波动的净接收者；因此，将它们纳入投资组合时需要谨慎。最后，因果关系检验表明 MCI 与股票回报的联系比与波动性的联系更紧密，因此表明媒体不仅可能引发股票波动性的上升，而且会导致强烈的风险传递，尤其是在类似于 Covid-19 的系统性危机期间.