A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility
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 retur...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-10-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S240584402202463X |
| _version_ | 1811257277165862912 |
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| author | Wei Zhang Wenqian Hou Chunhui Qu |
| author_facet | Wei Zhang Wenqian Hou Chunhui Qu |
| author_sort | Wei Zhang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-12T17:53:56Z |
| format | Article |
| id | doaj.art-90f9a62fbdfe44c6a794f909746f9223 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-04-12T17:53:56Z |
| publishDate | 2022-10-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-90f9a62fbdfe44c6a794f909746f92232022-12-22T03:22:25ZengElsevierHeliyon2405-84402022-10-01810e11175A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatilityWei Zhang0Wenqian Hou1Chunhui Qu2Corresponding author.; School of Economics, Beijing Technology and Business University, Beijing 100048, ChinaSchool of Economics, Beijing Technology and Business University, Beijing 100048, ChinaSchool of Economics, Beijing Technology and Business University, Beijing 100048, ChinaSampling 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.http://www.sciencedirect.com/science/article/pii/S240584402202463XCOVID-19Stock marketVolatilityEvent studyUnivariate graphic analysisPanel regression approach |
| spellingShingle | Wei Zhang Wenqian Hou Chunhui Qu A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility Heliyon COVID-19 Stock market Volatility Event study Univariate graphic analysis Panel regression approach |
| title | A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility |
| title_full | A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility |
| title_fullStr | A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility |
| title_full_unstemmed | A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility |
| title_short | A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility |
| title_sort | sectoral level analysis of the short and long term impacts of the covid 19 pandemic on china s stock market volatility |
| topic | COVID-19 Stock market Volatility Event study Univariate graphic analysis Panel regression approach |
| url | http://www.sciencedirect.com/science/article/pii/S240584402202463X |
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