The COVID-19 Pandemic and Chinese Insurance Firms: A Panel Predictability Analysis

Neluka Devpura and Fan Zhang

Emerging Markets Finance and Trade, 2023, vol. 59, issue 5, 1464-1474

Abstract: This paper examines whether the COVID-19 pandemic predicts Chinese insurance firms’ stock excess returns. COVID-19 is proxied using three indices: the stringency index, containment and health indices, and the government support index. We use monthly data from January 2020 to September 2020 on 64 insurance firms. Using a newly developed factor-augmented panel predictability model, we find that COVID-19 is a statistically insignificant predictor of excess returns. Our results are robust to the use of different control predictors such as macro variables, financial indicators and Fama-French factors.

Date: 2023
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DOI: 10.1080/1540496X.2022.2122709

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