Do the Outbreak of COVID-19 Influence the China Stock Market?

Niniejsza praca ma na celu zbadanie wpływu epidemii COVID-19 na chińską walutę i giełdę w okresie od 2 grudnia 2019 r. do 4 stycznia 2021 r. Podejście uogólnionej autoregresyjnej warunkowej homoscedastycznej obejmuje najpowszechniejszy stylizowany fakt dotyczący zwrotów z indeksu (taki jak wielowymiarowe przejąć giełdy w Szanghaju i Shenzhen). Nasze badanie pokazuje wybuchowy proces i premię za ryzyko dla indeksu giełdy w Shenzhen (SSE) i giełdy w Szanghaju (SZSE). Odchylenie standardowe deprecjacji chińskiej waluty podczas COVID-19 wyniosło 0,46%, co oznacza poprawę zwrotu z giełdy o 81% średniej stopy zwrotu. Wyniki te pokazują, że w badanym okresie na chińskim rynku akcji występuje duża zmienność zwrotów z indeksów. Na podstawie wyników analizy można stwierdzić, że liczba nowych zachorowań oraz liczba ostatnich zgonów ma znaczący wpływ na giełdę, powodując niepewność co do zrównoważoności.

Słowa kluczowe:

Kurs wymiany, zwrot akcji, COVID-19, zrównoważoność

Bibliografia

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