Cargando…

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 return vo...

Descripción completa

Detalles Bibliográficos
Autores principales: Zhang, Wei, Hou, Wenqian, Qu, Chunhui
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9585846/
https://www.ncbi.nlm.nih.gov/pubmed/36284769
http://dx.doi.org/10.1016/j.heliyon.2022.e11175
_version_ 1784813581992198144
author Zhang, Wei
Hou, Wenqian
Qu, Chunhui
author_facet Zhang, Wei
Hou, Wenqian
Qu, Chunhui
author_sort Zhang, Wei
collection PubMed
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.
format Online
Article
Text
id pubmed-9585846
institution National Center for Biotechnology Information
language English
publishDate 2022
publisher Elsevier
record_format MEDLINE/PubMed
spelling pubmed-95858462022-10-21 A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility Zhang, Wei Hou, Wenqian Qu, Chunhui Heliyon Research Article 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. Elsevier 2022-10-21 /pmc/articles/PMC9585846/ /pubmed/36284769 http://dx.doi.org/10.1016/j.heliyon.2022.e11175 Text en © 2022 The Author(s) https://creativecommons.org/licenses/by-nc-nd/4.0/This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
spellingShingle Research Article
Zhang, Wei
Hou, Wenqian
Qu, Chunhui
A sectoral-level analysis of the short- and long-term impacts of the COVID-19 pandemic on China’s stock market volatility
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 Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9585846/
https://www.ncbi.nlm.nih.gov/pubmed/36284769
http://dx.doi.org/10.1016/j.heliyon.2022.e11175
work_keys_str_mv AT zhangwei asectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility
AT houwenqian asectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility
AT quchunhui asectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility
AT zhangwei sectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility
AT houwenqian sectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility
AT quchunhui sectorallevelanalysisoftheshortandlongtermimpactsofthecovid19pandemiconchinasstockmarketvolatility