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
AL-AWADHI A.M., AL-SAIFI K., AL-AWADHI A., ALHAMADI S., 2020, Death and contagious infection diseases:
Google Scholar
Impact of the COVID-19 virus on stock market returns, J. Behav. Exp. Finance, 100326, https://doi.org/10.1016/j.jbef.2020.100326.
DOI: https://doi.org/10.1016/j.jbef.2020.100326
Google Scholar
APERGIS E., AND APERGIS N., 2020. Can the COVID-19 pandemic and oil price dive the US partisan conflict index?, Energy Research Letter, 1(1): 13144, DOI: 10.46557/001c.13144.
DOI: https://doi.org/10.46557/001c.13144
Google Scholar
BOLLERSLEV T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31:307-327.
DOI: https://doi.org/10.1016/0304-4076(86)90063-1
Google Scholar
BRANSON W.H., 1983, Macroeconomic determinants of real exchange risk, Managing foreign exchange risk, ed. R.J. Herring R.J., Cambridge University Press, Cambridge: 33-74.
Google Scholar
CHEN C., LIU L., ZHAO N., 2020, Fear sentiment, uncertainty, and bitcoin price dynamics: Evidence from gold and cryptocurrencies, Journal of Finance Research Letters, 101554, https://doi.org/10.1016/j.frl.2020.101554.
DOI: https://doi.org/10.1016/j.frl.2020.101554
Google Scholar
DICKEY D., FULLER W., 1981, Distribution of the estimators for Autoregressive time series with a unit root, Econometrica, 49: 1057-1072.
DOI: https://doi.org/10.2307/1912517
Google Scholar
DORNBUSCH R., FISHER S., 1980, Exchange rates and the current account, American Economic Review, 70: 960-971.
Google Scholar
ENDER W., 2004, Applied econometric time series, 2nd Ed, Wiley series in Probability and Statistics.
Google Scholar
ENGEL R., BOLLERSLEV T., 1982, Modeling the persistence of conditional variances, Econometric Reviews, 5: 1-50, https://doi.org/10.1080/07474938608800095.
DOI: https://doi.org/10.1080/07474938608800095
Google Scholar
ENGEL R., LILIEN D., 1987, Estimating time varying risk premia in term structure: The ARCH-M model, Econometrica,
DOI: https://doi.org/10.2307/1913242
Google Scholar
: 391-407.
Google Scholar
FANG Y., YU B., WANG W., 2020, China's financial market risk measurement and controlling under COVID-19 shock, Journal of Central University of Finance &Economic, https://doi.org/10.19681/j.cnki.jcufe.2020.08.010.
Google Scholar
FRANCKEL J.A., 1983, Monetary and portfolio-balance model of exchange rate determination, Economic interdependence and flexible exchange rates, eds. Bhandari J.S., Putnan BH., (Eds), MIT, Cambridge.
Google Scholar
GIL-ALAN L.A., 2020, Crude oil price and COVID-19: Persistence of shock, Energy Research Letter, 1(1): 13200, https://doi.org/10.46557/001c.13200.
DOI: https://doi.org/10.46557/001c.13200
Google Scholar
GU X., YING S., ZHANG S.A.R., 2020, How do firms respond to COVID-19? First evidence from Suzhou, China, Emerging Market and Trade, 56 (10): 2151-2197, https://doi.org/10.1080/1540496X.2020.1784716.
DOI: https://doi.org/10.1080/1540496X.2020.1789455
Google Scholar
HAROON O., RIZVI S.A.R., 2020, Flatten the curve and stock market liquidity – An inquiry into emerging economies, Emerging Market Finance and Trade, 56(10): 2151-2197, https://doi.org/10.1080/1540496X.2020.1784716.
DOI: https://doi.org/10.1080/1540496X.2020.1784716
Google Scholar
HE P., SUN Z., LI. T., 2020, Accounting index of COVID-19 impact on Chinese industries: A case study using big data portrait analysis; Emerging Markets Finance and Trade, 56(10): 2332-2349, https://doi.org/10.1080/1540496X.2020.1785866.
DOI: https://doi.org/10.1080/1540496X.2020.1785866
Google Scholar
HE P., SUN Y., SUN Z., LI T., 2020, COVID-19's impact on stock market prices across different sectors – An event study based on the Chinese stock market, Emerging Markets Finance and Trade, 56(10): 2198-2212. https://doi.org/10.1080/1540496x.2020.1785865.
DOI: https://doi.org/10.1080/1540496X.2020.1785865
Google Scholar
HUANG W., ZHENG Y., LI T., 2020, COVID-19: Structural changes in the relationship between investor sentiment and crude oil futures prices, Energy Research Letters, 1(2): 13685, https://doi.org/10.46557/001c.13685.
DOI: https://doi.org/10.46557/001c.13685
Google Scholar
IYKE B., 2020, COVID-19: The reaction of US oil and gas producers to pandemic, Energy Research Letters, 1(2): 13912, https://doi.org/10.46557/001c.13912.
DOI: https://doi.org/10.46557/001c.13912
Google Scholar
LIU L., WANG E.Z., LEE C.C., 2020, Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: A time-varying analysis, Energy Research Letters, 1(1): 13154, https://doi.org/10.46557/001c.13154.
DOI: https://doi.org/10.46557/001c.13154
Google Scholar
LIU L., D., SUN W., ZHANG X., 2020, Is the Chinese economy well positioned to fight the COVID-19 pandemic? The financial cycle perspective, Emerging Markets Finance and Trade, 56(10): 2259-2276, https://doi.org/10.1080/1540496X.2020.1787152.
DOI: https://doi.org/10.1080/1540496X.2020.1787152
Google Scholar
PHILLIPS P.C.B., PERRON P., 1998, Testing for unit root in time series regression, Biometrika, 75: 335.
DOI: https://doi.org/10.2307/2336182
Google Scholar
POON S., 2005, A practical guide to forecasting financial market volatility, Wiley Finance, England.
Google Scholar
SHA Y., SHARMA, S.S., 2020, Research on pandemics special Issue of the Journal Emerging Markets Finance and Trade, Emerging Market Finance and Trade, 56: 2133-2137, https://doi.org/10.1080/154049X.2020.1795467.
DOI: https://doi.org/10.1080/1540496X.2020.1795467
Google Scholar
SHEN H., FU M., PAN H., YU Z., CHEN Y., 2020, The impact of the COVID-19 pandemic on firm performance, Emerging Market Finance and Trade, 56: 2133-2137, https://doi.org/10.1080/1540496X.2020.1785863.
DOI: https://doi.org/10.1080/1540496X.2020.1785863
Google Scholar
SUI L., SUN, L., 2016, Spillover effects between exchange rate and stock prices: Evidence from BRICS around the recent global financial crisis, Research in International Business and Finance, 36: 459-471, https://doi.org/10.1016/j.ribaf.2015.10.011.
DOI: https://doi.org/10.1016/j.ribaf.2015.10.011
Google Scholar
VIDYA C.T., PRABHEESH K.P., 2020, Implication of COVID-19 pandemic on the Global Trade networks, Emerging Markets Finance and Trade, 56(10): 2408-2421, https://doi.org/10.1080/1540496X.2020.1785426.
DOI: https://doi.org/10.1080/1540496X.2020.1785426
Google Scholar
WANG Y., ZHANG D., WANG X., FU Q., 2020, How does COVID-19 affect China's insurance Market?, Emerging Market Finance and Trade, 56(10): 2350-2362, https://doi.org/10.1080/1540496X.2020.1791074.
DOI: https://doi.org/10.1080/1540496X.2020.1791074
Google Scholar
YUE P., KORKMAZ A.G., ZHOU H., 2020, Household financial decision making amidst the COVID-19 pandemic, Emerging Market Finance and Trade, 56(10): 2363-2377, https://doi.org/10.1080/1540496X.2020.1787149.
DOI: https://doi.org/10.1080/1540496X.2020.1784717
Google Scholar
ZHANG D., HU M., JI Q., 2020, Financial market under the global pandemic of COVID-19, Finance Research Letters, 1011528.
DOI: https://doi.org/10.1016/j.frl.2020.101528
Google Scholar
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
Statistics
Abstract views: 49PDF downloads: 28
License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
