Research on Pandemics 2021
DOI: 10.4324/9781003214687-6
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COVID–19's Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market

Abstract: In this article, we use an event study approach to empirically study the market performance and response trends of Chinese industries to the COVID-19 pandemic. The study found that transportation, mining, electricity & heating, and environment industries have been adversely impacted by the pandemic. However, manufacturing, information technology, education and health-care industries have been resilient to the pandemic.

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Cited by 48 publications
(79 citation statements)
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References 17 publications
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“…For every increase in the growth of the total number of corona cases, the market returns in financially freer countries are correlated with a smaller decrease in return. In regard to the developing economies, we notice that He et al (2020), Liu et al (2020) and Wu et al (2020) investigated the performance of stock markets in times of pandemic. Recent literature is also replete with studies that examine the economic and financial effects of coronavirus from different dimensions.…”
Section: Literature Reviewmentioning
confidence: 99%
See 1 more Smart Citation
“…For every increase in the growth of the total number of corona cases, the market returns in financially freer countries are correlated with a smaller decrease in return. In regard to the developing economies, we notice that He et al (2020), Liu et al (2020) and Wu et al (2020) investigated the performance of stock markets in times of pandemic. Recent literature is also replete with studies that examine the economic and financial effects of coronavirus from different dimensions.…”
Section: Literature Reviewmentioning
confidence: 99%
“…The outbreak has affected the global financial market in an unprecedented way. There have been varied responses of the international stock market to the pandemic (Al-Awadhiet, 2020; He et al , 2020; Anh and Gan, 2020; Nguyen et al , 2021). Extant literature demonstrates two crucial channels through which the pandemic affects the stock market performance.…”
Section: Introductionmentioning
confidence: 99%
“…To the best of the researcher's knowledge, COVID 19 has been extensively studied at the industry and business levels in a particular nation in recent studies such as Xiong et al (2020), Alam et al (2021), He et al (2020a) and In et al (2002). Other studies have focused on the major capital markets in the USA and EU regions such as He et al (2020c), Li et al (2021) and Harjoto et al (2021), however, a very negligible number of studies such as Hunjra et al (2021) and Mishra and Mishra (2021) have examined the major Asian equity markets reactions to COVID 19 using an event study while considering the first local detection announcement as the event date. Most of the studies either use WHO's 11th March 2020 declaration of COVID 19 as global pandemic as event date or the 23rd of January 2020 when the Chinese government imposed lockdown in Wuhan to prevent the spread of contagion such as He et al (2020a), Ramelli and Wagner (2020) and Xiong et al (2020) and used the developed market context to analyze the pandemic effect (Zhang et al, 2020;Zeren and Hizarci, 2020;Liu et al, 2020).…”
Section: Ajarmentioning
confidence: 99%
“…To ensure the accuracy of the predicted return estimate, this study followed Brown and Warner (1985) and Agrawal and Kamakura (1995) for selecting estimation windows of 250 trading days, 10 days before the event day respective to the different event days for the selected stock exchanges. The average abnormal return (AAR) is calculated over an 11-day timeframe surrounding a given event, including 10 days before and after the event day, as well as one day on the event day like Maneenop and Kotcharin (2020), He et al, 2020c. The 21-day window prevents overlappingwindow concerns since certain events are near together (Armitage, 1995).…”
Section: Sample Formation and Data Sourcementioning
confidence: 99%
“…Its impact on economy ( Makin and Layton, 2021 , Yoshino et al, 2021 , Yagi and Managi, 2021 ), government ( Sharma et al, 2020 , Tisdell, 2020 , Park and Chung, 2021 ) and publics ( Vally, 2020 , Watkins and Maruthappu, 2020 ) have unfolded. Given greater availability of data, the research about the effect of COVID-19 on stock market is rich and can be categorized into following aspects: (a) the negative effect of COVID-19 on firm and industry performances ( Gu et al, 2020 , He et al, 2020a , He et al, 2020b , Iyke, 2020a , Qin et al, 2020 , Xiong et al, 2020 ); (b) the increased stock return volatility due to the COVID-19 pandemic ( Dai et al, 2021 , Liu et al, 2020a , Liu et al, 2021 , Nguyen et al, 2021 , Phan and Narayan, 2020 ); (c) the fear sentiment because of the COVID-19 ( Ahmed, 2020 , Baig et al, 2020 , Hoang and Syed, 2021 ); (d) the risk contagion as a result of the COVID-19 pandemic ( Abuzayed et al, 2021 , Akhtaruzzaman et al, 2020 , Corbet et al, 2021 , Jiang et al, 2020 , Sharma, 2020 , Zhang et al, 2021 ). 1…”
Section: Literature Reviewmentioning
confidence: 99%