The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model

被引:30
作者
Apergis, Nicholas [1 ]
Apergis, Emmanuel [2 ]
机构
[1] Univ Derby, Dept Econ & Finance, Kedleston Rd Campus, Derby DE22 1GB, England
[2] Univ Huddersfield, Dept Business Adm, Huddersfield, W Yorkshire, England
关键词
Stock market returns; Covid-19; China; GARCHX model; OIL PRICE SHOCKS; MARKETS EVIDENCE; INTEREST-RATES; VOLATILITY; IMPACT; WORLD;
D O I
10.1080/16081625.2020.1816185
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.
引用
收藏
页码:1175 / 1183
页数:9
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