| Summary: | Sampling China’s Shenyin & Wanguo Sectoral Indices for 28 industries and 3272 listed firms included in those indices, and using industry- and firm-level daily data up to December 31, 2020, this paper empirically examined the short- and long-run impacts of the COVID-19 pandemic on stock return volatility. The results of the event study and univariate graphic analysis suggested that the market volatilities of the 28 industries were affected by COVID-19 events at various levels and that the events increased the volatility continuously for up to 6 days. The results of the panel data regression models revealed that the COVID-19-related daily new confirmed cases, daily new deaths, and cumulative cured cases were associated with higher volatility for all industries, although the impact levels were small; the daily deaths impacted volatility more than confirmed and cured cases. Finally, positive and significant effects of firm-specific variables such as total assets, turnover ratio and trading volume were recorded, indicating that fundamental aspects of the company and investors' behaviour also made great sense.
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