A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China's stock market volatility. Issue 10 (October 2022)

• Record Type: Journal Article
• Authors: Zhang, Wei; Hou, Wenqian; Qu, Chunhui
• Is Part Of: Heliyon. Volume 8:Issue 10(2022)
• Publication Date: 2022-10
• Subjects: COVID-19 -- Stock market -- Volatility -- Event study -- Univariate graphic analysis -- Panel regression approach; Research -- Periodicals; Medical sciences -- Periodicals; Natural history -- Periodicals; Social sciences -- Periodicals; Earth sciences -- Periodicals; Physical sciences -- Periodicals; 507.2
• DOI: 10.1016/j.heliyon.2022.e11175
• Languages: English
• ISSNs: 2405-8440

Abstract

Abstract: 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. Highlights: COVID-19-related new cases, new deaths, and cumulative cured cases were associated with higher stock market volatility. COVID-19's impacts varied across different sectors. COVID-19 events increased volatility continuously for up to 6 days. COVID-19 daily deaths impacted volatility more than confirmed and cured cases. In the long run, the fundamental aspects of the company and investors' behaviour also made great sense. Abstract : COVID-19; Stock market; Volatility; Event study; Univariate graphic analysis; Panel regression approach.