Modelling stock market data in China: Crisis and Coronavirus

Cristofaro, Lorenzo; Gil-Alana, Luís A.; Chen, Zhongfei

doi:10.1016/j.frl.2020.101865

Cited by 4 publications

(3 citation statements)

References 44 publications

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“…They find that while investors initially shifted out of bonds towards more liquid securities to raise cash, Federal Reserve purchases of corporate bonds helped to alleviate the disruption in the bond market. Cristofaro, Gil‐Alana, Chen, and Wanke ( 2020 ) find that the shock from the COVID‐19 pandemic has only temporary impacts on China's Shanghai and Shenzhen Composite Indices, unlike the shock from the 2007–2008 Global Financial Crisis that have permanent impacts on the two indices. Espinosa‐Méndez and Arias ( 2021 ) find that the COVID‐19 pandemic increased herding behavior in European capital markets, where uncertainty drives less informed agents.…”

Section: Related Literaturementioning

confidence: 99%

COVID‐19, asset markets and capital flows

Beirne

Renzhi

Sugandi

et al. 2021

Pacific Economic Review

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This paper empirically examines the reaction of global financial markets across 38 economies to the COVID‐19 outbreak, with special focus on the dynamics of capital flows across 14 emerging market economies. The effectiveness of fiscal and monetary policy responses to COVID‐19 is also tested. Using daily data over the period January 4, 2010 to August 31, 2020, and controlling for a host of domestic and global macroeconomic and financial factors, we use a fixed effects panel approach and a structural VAR framework to show that emerging markets have been more heavily affected than advanced economies. In particular, emerging economies in Asia and Europe have experienced the sharpest impacts on stock, bond and exchange rates due to COVID‐19, as well as abrupt and substantial capital outflows. Quantitative easing and fiscal stimulus packages mainly helped to boost stock prices, notably for advanced and emerging economies in Asia. Our findings also highlight the role that global factors and developments in the world's leading financial centers have on financial conditions in EMEs. Importantly, the impact of COVID‐19 related quantitative easing measures by central banks in advanced countries extended to EMEs, with significant positive spillovers to EME stock markets in Asia, Europe and Latin America. Going forward, while the ultimate resolution of COVID‐19 may be expected to lead to a market correction as uncertainty declines, our impulse response analysis suggests that there may be persistent effects on bond markets in emerging Europe and on EME capital flows.

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Section: Related Literaturementioning

confidence: 99%

COVID‐19, asset markets and capital flows

Beirne

Renzhi

Sugandi

et al. 2021

Pacific Economic Review

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“…This leads to the result that stock markets in China have suffered harsh times during covid-19, and it has characteristics of mean reversion with shocks having temporary effects. Furthermore, the research indicates that the stability of the Chinese stock market could continuously weaken [2].…”

Section: Related Researchmentioning

confidence: 99%

Research of Impact of COVID-19 on Clothing Industry Using Fama-French Five-Factor Model

Ji¹,

Li²,

Yu³

2021

Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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As COVID-19 negatively affected the U.S. stock market, the performances of stocks vary from different industries. This research focused on the specific impact of the pandemic on the clothing industry specifically. The study used the Fama-French 5 factor model, which includes two other variables -RMW and CMA based on the Fama-French 3 factor model, including factors of return on the market, size of firms, and book-to-market values, to get the performance of stocks of the clothing industry. The data from a time before COVID-19, which was January 2019, to time during the pandemic, March 2021, is obtained from Kenneth R. French Data Library. The two sets, which are before and during the pandemic, of coefficients of all the five factors and 𝑅 𝑖 − 𝑅 𝑓 are calculated using the model and compared with each other. The results show the change in the significance of three factors: value, profitability, and investment, which suggests that the performance of companies in the clothing industry is related to those three variables. In conclusion, investors should be careful with firms with low book-to-market ratios and those with low investments. Additionally, investors need to be cautious with firms that have robust profitability.

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“…Even though the impacts of the shocks were only ephemeral, the coronavirus epidemic induced a large decrease in the skewness and total market price of risk. (Aslam et al, 2020;Cristofaro et al, 2021;Delis et al, 2021). The largest decreases occurred in March and April 2020.…”

Section: Introductionmentioning

confidence: 97%

Did COVID-19 challenge the volatility of the sustainable stock market? An examination of Asian market

Nur Aji Cokro Darsono,

Le-Dinh,

Trong Than

et al. 2023

JEECAR

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The coronavirus outbreak at the end of 2019 hit many aspects of the financial sector, especially the stock market. This research examines the impacts of the COVID-19 pandemic, exchange rates, gold price, and the Brent oil price on the volatility of the Sustainable Stock Market in Asia. A quantitative research method is applied using average monthly panel data from March 2020 to April 2022, covering the COVID-19 pandemic period. We employed panel regressions and applied Feasible Generalized Least Square (FGLS) in the analysis, which also serves as a robustness check. This study contributes to the literature by examining the variables significantly impacting sustainable investing, particularly in the sustainable stock market. Empirical results find that COVID-19, gold price and the exchange rate have negatively affected sustainable stock market volatility, while the Brent oil price has a positive impact on the volatility of the sustainable stock market. This study's recommendations infer that both investors and managers should consider the increase of COVID-19 cases and frequency-varying exchange rates to the USD on the Asian sustainable stock market volatility.

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Modelling stock market data in China: Crisis and Coronavirus

Cited by 4 publications

References 44 publications

COVID‐19, asset markets and capital flows

COVID‐19, asset markets and capital flows

Research of Impact of COVID-19 on Clothing Industry Using Fama-French Five-Factor Model

Did COVID-19 challenge the volatility of the sustainable stock market? An examination of Asian market

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