Do the Outbreak of COVID-19 Influence the China Stock Market?
Junaid Ashraf
junaidashraf2020@outlook.comJiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China (China)
https://orcid.org/0000-0002-8189-6755
Franck Edouard Gnahe
Jiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China (China)
https://orcid.org/0000-0001-7927-1310
Fei-Ming Huang
Jiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China (China)
Zeinab Rizk
Jiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China; Damietta University, Arab of Republic of Egypt (China)
Abstract
This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.
JEL codes: E37; F37; E31
Keywords:
exchange rate, stock return, COVID-19, sustainabilityReferences
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Authors
Junaid Ashrafjunaidashraf2020@outlook.com
Jiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China China
https://orcid.org/0000-0002-8189-6755
Authors
Franck Edouard GnaheJiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China China
https://orcid.org/0000-0001-7927-1310
Authors
Fei-Ming HuangJiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China China
Authors
Zeinab RizkJiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China; Damietta University, Arab of Republic of Egypt China
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