Economics at your fingertips  

Coronavirus and the Chinese Stock Market: Pandemic Versus Financial Crisis

Maen F Nsour (), Samer Al-Rjoub () and Mohammad Tayeh ()

Asian Economic and Financial Review, 2022, vol. 12, issue 2, 132-140

Abstract: This paper explores the impact of the COVID-19 pandemic on the Shanghai Stock Exchange (SSE) index returns and volatility from October 2019 to March 2020. The GARCH results show that the pandemic negatively affected the SSE stock returns during the spread of the virus, and the conditional variance showed increased variation at the time. However, the increased volatility did not cause a market crash as Patel & Sarkar (1998) and Mishkin & White (2002) reported. The negative effect on stock returns and the increased volatility might be justified because well-diversified markets can alter the wealth effects on composite stock markets, and they can make a quick recovery after crises. When comparing the effects of the pandemic to those of the 2008 financial crisis on SSE returns, the results show higher risk values and much thicker tails of probability distribution during the pandemic. Both the Covid-19 pandemic and the 2008 financial crisis negatively affected stock returns, but the effect on volatility was stronger during the pandemic.

Keywords: COVID-19 pandemic; 2008 financial crises; Market crash; Stock returns; Volatility; GARCH model. (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().

Page updated 2022-05-17
Handle: RePEc:asi:aeafrj:v:12:y:2022:i:2:p:132-140:id:4432