Chinese stock market sectoral indices performance in the time of novel coronavirus pandemic

Venus Liew and Chin-Hong Puah

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sectorial indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, descriptive analysis is performed on these indices to compare their performances before and during the lockdown period. Next, regression analysis with Exponential Generalized Autoregressive Conditional Heteroscedasticity specification is estimated to quantify the pandemic effect on the Chinese stock market. This paper finds that health care, information technology and telecommunication services sectors were relatively more pandemic-resistant, while other sectors were more severely hurt by the pandemic outbreak. The extent to which each sector was affected by pandemic and sentiments in other financial and commodity markets were reported in details in this paper. The findings of this paper are resourceful for investors to avoid huge loss amid pandemic outburst and the China Securities Regulatory Commission in handling future pandemic occurrence to cool down excessive market sentiments.

Keywords: Novel coronavirus; COVID-19; SARS-CoV-2; pandemic; Chinese stock market; Exponential Generalized Autoregressive Conditional Heteroscedasticity (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020-04-01, Revised 2020-04-28
New Economics Papers: this item is included in nep-fmk, nep-ict and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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