Jak COVID-19 wpływa na chińską giełdę?
Junaid Ashraf
junaidashraf2020@outlook.comJiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China (Chiny)
https://orcid.org/0000-0002-8189-6755
Franck Edouard Gnahe
Jiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China (Chiny)
https://orcid.org/0000-0001-7927-1310
Fei-Ming Huang
Jiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China (Chiny)
Zeinab Rizk
Jiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China; Damietta University, Arab of Republic of Egypt (Chiny)
Abstrakt
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, zrównoważonośćBibliografia
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Autorzy
Junaid Ashrafjunaidashraf2020@outlook.com
Jiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China Chiny
https://orcid.org/0000-0002-8189-6755
Autorzy
Franck Edouard GnaheJiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China Chiny
https://orcid.org/0000-0001-7927-1310
Autorzy
Fei-Ming HuangJiangxi University of Finance and Economics, School of Finance, Nanchang 330013, Jiangxi, China Chiny
Autorzy
Zeinab RizkJiangxi University of Finance and Economics, School of Statistics, Nanchang 330013, Jiangxi, China; Damietta University, Arab of Republic of Egypt Chiny
Statystyki
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