Do the Outbreak of COVID-19 Influence the China Stock Market? (original) (raw)
Related papers
Coronavirus and the Chinese Stock Market: Pandemic Versus Financial Crisis
Asian Economic and Financial Review, 2022
This paper explores the impact of the COVID-19 pandemic on the Shanghai Stock Exchange (SSE) index returns and volatility from October 2019 to March 2020. The GARCH results show that the pandemic negatively affected the SSE stock returns during the spread of the virus, and the conditional variance showed increased variation at the time. However, the increased volatility did not cause a market crash as Patel & Sarkar (1998) and Mishkin & White (2002) reported. The negative effect on stock returns and the increased volatility might be justified because well-diversified markets can alter the wealth effects on composite stock markets, and they can make a quick recovery after crises. When comparing the effects of the pandemic to those of the 2008 financial crisis on SSE returns, the results show higher risk values and much thicker tails of probability distribution during the pandemic. Both the Covid-19 pandemic and the 2008 financial crisis negatively affected stock returns, but the effe...
Volatility in International Stock Markets: An Empirical Study during COVID-19
Journal of Risk and Financial Management
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 countries based on GDP using a widely applied econometric model—generalized autoregressive conditional heteroscedasticity (GARCH). For this purpose, the daily returns of market indices from January 2019 to June 2020 were taken into consideration. The results reveal daily negative mean returns for all market indices during the COVID period (January 2020 to June 2020). Though the second quarter of the COVID period reflects a bounce back for all market indices with altered strengths, the volatility remains hig...
COVID-19 Pandemic and Stock Markets: The Case of Select Asian Economies
Sustainable Strategies for Economic Growth and Decent Work: New Normal
Introduction: The present study attempts to capture the dynamic connection between the outbreak of the COVID-19 pandemic and stock indices of select Asian emerging economies like China, India, South Korea, Indonesia, Hong Kong, and Thailand, along with the volatility in the select stock markets occurring out of the COVID-19 pandemic. Methodology: The study period begins on January 1, 2019 and continues up to April 6, 2022. The Bai-Perron test for the identification of structural breaks and the Wald test for the determination of short-run causality are used. Granger causality test measures the existence of uni-directional or bi-directional causality. To capture the volatility, Dummy-GARCH (1,1) along with EGARCH are used. Results: The results reveal the existence of causality over the short-run among the indices and COVID-19, as well as the existence of ARCH and GARCH effects in most of the stock indices, which may have occurred due to the external shock of the pandemic. Conclusion: ...
COVID-19 and Volatility of China Concept Stocks
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
COVID-19 is now spreading all over the world, and the severity of the epidemic varies from region to region. In this case, people's investor sentiment is unstable, and the price of the stock market fluctuates accordingly, including China Concept Stocks. This paper aims at exploring the correlation between the Chinese concept stock price index and the severity of the epidemic in China and the United States. Findings suggest that the situation in China has no dynamic correlation with the China concept stock price, while the US is more related to the China concept stock price during the pandemic period. In conclusion, the volatility and the severity of the US pandemic show more similar trends than that of China, and they are more correlated.
Impact of COVID-19 Outbreak on the Stock Market: An Evidence from Select Economies
COVID-19 quickly spread all over the world and dramatically affected the financial markets in almost everycountry. Its spread created havoc in the market, and investors fearing risk suffereda significant amount of financialloss in a very short time. This article aims to analyze the impact of COVID-19 on stock markets in the top six affected countries based on the total number of cases confirmed. In addition, it also analyzes the stock market volatility caused by the virus and the abnormal returns generated by the markets during the pandemic. We employevent study methodology in different sub-periods to examine the most volatile event periods with the daily rise in the Covid cases and subsequent returns generated by the markets during these sub-periodsin relation to the daily rise in the case. The increase in volatility and the presence of significant abnormal returns among the sample indices show the impact of COVID-19 on stock markets. The result reveals that Brazilian stock indices show the highest decline among the selected countries, with a fall of more than 50% during the pandemic, while Mexican indices show the lowest fall of around 30% during the same period.
Determinants of G7 and Chinese Stock Market Returns During COVID-19 Outbreak
2020
The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.
iRASD Journal of Economics, 2021
The catastrophe that the world is now facing in the form of COVID-19, has affected most of the world economies and financial markets as a result of lockdown, travelling restrictions, and social distances. The present study attempted to investigate the effects of COVID-19 on the stock returns of the Pakistan Stock Exchange. The data employed comprises daily prices of Pakistan Stock Exchange, the daily value of exchange rate over the period 01 January 2011 to 30 April 2021, and a dummy variable for COVID-19 which takes 1 for the period during COVID-19 and 0 for the period before. The data were sourced from the Karachi Stock Exchange website, National Institute of Health Sciences Pakistan, and State Bank of Pakistan. We applied the autoregressive conditional heteroskedastic (ARCH) and the associate generalized autoregressive conditionally heteroskedastic (GARCH) approaches to analyze the impact. Our findings revealed that a negative relationship exists between our variables of interest...
Jurnal Ekonomi Indonesia, 2020
This paper investigates the short term return behavior of six selected stock market around the world during the COVID-19 Pandemic. USA, Indonesia, India, South Korea, Saudi Arabia, and Singapore are selected based on the size of their stock market and the countries have taken a considerable amount of decision and policy to mitigate the risk of before, ongoing, and aftermath COVID-19 Pandemic. This study relies on two major time series investigation techniques, namely Econometric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling, namely the GARCH and WBAVR Test. The results suggest that the stock return behavior in six selected countries occurs in different forms. Our findings suggest that the policymakers must understand how to shift their policy to mitigate the risk of COVID-19 in the financial sector, since we observe a strong correlation between the public health crisis and stock market performances.
Economic Research-Ekonomska Istraživanja
This study examines the volatility of China and the most advanced countries of the world stock markets due to the pandemic of COVID-19 using the TGARCH model. This research study presents empirical support for the TGARCH specification for explaining the daily time dependence in the rate of information arrival to the market for stocks traded on China stock market. Using the sample containing closing stock market returns from 05 January 2015 to 04 April 2020 of sample countries, we found that through the COVID-19, there is no significant impact of returns volatility coming from advanced countries towards the China stock market. Further, results state that China has a significant impact on explaining the volatility of the most advanced countries of the world (Switzerland, Sweden, Netherlands, and the UK) except the U.S.A. during COVID-19. We found no significant impact of China stock market returns on the U.S.A.'s volatility, but there is a presence of leverage effect during COVID À19.
Modus
The purpose of this study is to examine the impact of COVID-19 on six stock market indexes of countries listed on ASEAN Exchanges and three stock market indexes of countries listed on ASEAN Exchanges which have sectoral index of consumer products and property. The variables used in this study were the Coronavirus Disease 2019 (COVID-19) pandemic event; price and return of the six stock market indexes. The sample data in this study were measured based on the entire study period, before the date of the first confirmed case of COVID-19, and after the date of the first confirmed case of COVID-19. The population in this study is all stock market indexes of countries as well as all those that have sectoral index of consumer products and property in ASEAN Exchanges. This study was a population study conducted in the period of 2019-2020 by using the Autoregressive Distributed Lag (ARDL) Model, Autoregressive Conditional Heteroscedasticity (ARCH) Family Models, and California Managed Account...