3.1. Sample Selection
To test our hypotheses, we use the Chinese setting from 10 January to 31 March 2020. The financial and executive data is collected from the CSMAR database; the COVID-19 data is collected from the National Health Commission of the People’s Republic of China; the stock price is collected from the RESSET database; and the province-level data is collected from the National Bureau of Statistics. Panel A in Table 1 shows the sample selection process. After dropping the sample with missing data, the final sample contains 178,805 firm-day observations.
Panel B of Table 1 shows the sample distribution by month. There are 237 firm-day observations for firms located in provinces face a continued increase in public health threats (CIPHT = 1) in January. The sample group of CIPHT = 1 increased dramatically during February, while there is a declining trend in the group of CIPHT = 1 during March. Panel C of Table 1 shows the sample distribution by industry. Firms from the manufacturing industry dominate the full sample, which is consistent with China’s industrial structure. The proportion of cross-industry distribution in sub-samples is similar to the full sample.