The Impact of COVID-19 on China’s Capital Market and Major Industry Sectors

Weijia Xu (), Aihua Li () and Lu Wei
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Weijia Xu: Central University of Finance and Economics
Aihua Li: Central University of Finance and Economics
Lu Wei: Central University of Finance and Economics

Annals of Data Science, 2022, vol. 9, issue 5, No 6, 983-1007

Abstract: Abstract This paper studies the impact of COVID-19 on China’s capital market and major industry sectors via an improved ICSS algorithm, a time series model with exogenous variables and nonparametric conditional probability estimation. Through the empirical analysis of the stock market, the bond market and different industry sectors, it is found that the pandemic has had no significant impact on the return of the stock and bond markets; however, it has increased market volatility. There are significant differences in the significance, direction and duration of the impact of the pandemic in different sectors. In addition, the impacts of COVID-19 have been gradual in some industries but rapid in others. Different industries show different sensitivities in their response to COVID-19. Based on the impact analysis, this paper proposes corresponding suggestions for investment strategies and macrocontrol decisions.

Keywords: COVID-19; Capital market; Industry sector index; Nonparametric conditional probability estimation (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s40745-022-00374-z

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