The impact of COVID-19 on the Chinese stock market: Sentimental or substantial?

Yunchuan Sun, Mengyuan Wu, Xiaoping Zeng and Zihan Peng

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We investigate the impact of COVID-19 on Chinese stock market by an event study and examine the effect of individual investor sentiment on returns. The pandemic has an overall negative effect on stock market during the post-event window, which can't be explained by real losses. Results show a stronger positive correlation between individual investor sentiment and stock returns than usual. The impact on individual investor sentiment on stock returns is more significant for enterprises with high PB, PE and CMV, low net asset, and low institutional shareholding. Only 7 industries related to pharmacy, digitalization, and agriculture are boosted.

Keywords: COVID-19; Event study; Investor sentiment; Stock returns (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316524

DOI: 10.1016/j.frl.2020.101838

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