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• W3081651172 abstract "ABSTRACTThis paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.KEYWORDS: Stock market returnsCovid-19ChinaGARCHX model Disclosure statementNo potential conflict of interest was reported by the authors.Notes1. https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economic-downturn-since-the-great-depression/2. In a recent survey, Goodell (Citation2020) finds that the research on the effects of pandemics is seriously limited.Additional informationFundingThis research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors." @default.
• W3081651172 created "2020-09-08" @default.
• W3081651172 creator A5079015175 @default.
• W3081651172 creator A5086949934 @default.
• W3081651172 date "2020-09-03" @default.
• W3081651172 modified "2023-10-18" @default.
• W3081651172 title "The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model" @default.
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• W3081651172 doi "https://doi.org/10.1080/16081625.2020.1816185" @default.
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