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The impact of COVID-19 on industry-related characteristics and risk contagion

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  • Li, Zhong-fei
  • Zhou, Qi
  • Chen, Ming
  • Liu, Qian

Abstract

We use the cutting-edge causal forest algorithm to analyze the heterogeneous treatment effects of the COVID-19 outbreak on China's industry indexes. The variable importance index is used with the causal forest and complex network methods to analyze the characteristics of industrial relations and the types of industry risk contagion before and after the COVID-19 outbreak. The results show that the heterogeneity of industries was significantly weakened during the COVID-19 outbreak. In addition, the COVID-19 outbreak changed the original structure of the industry-related network, which shifted to a star network structure with leisure services at the core. It also changed the type of risk contagion between industries, from the original middleman risk type to the input risk type.

Suggested Citation

  • Li, Zhong-fei & Zhou, Qi & Chen, Ming & Liu, Qian, 2021. "The impact of COVID-19 on industry-related characteristics and risk contagion," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s154461232100012x
    DOI: 10.1016/j.frl.2021.101931
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    Cited by:

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    4. Chen, Yanhua & Pantelous, Athanasios A., 2022. "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, vol. 46(PB).
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    6. Dai, Xingyu & Li, Matthew C. & Xiao, Ling & Wang, Qunwei, 2022. "COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis," Resources Policy, Elsevier, vol. 79(C).
    7. Rouatbi, Wael & Demir, Ender & Kizys, Renatas & Zaremba, Adam, 2021. "Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world," International Review of Financial Analysis, Elsevier, vol. 77(C).
    8. Fasano, Francesco & Javier Sánchez-Vidal, F. & La Rocca, Maurizio, 2022. "The role of government policies for Italian firms during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 50(C).
    9. Chortane, Sana Gaied & Pandey, Dharen Kumar, 2022. "Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    10. Wang, Man & Yang, Qiuping, 2022. "The heterogeneous treatment effect of low-carbon city pilot policy on stock return: A generalized random forests approach," Finance Research Letters, Elsevier, vol. 47(PA).

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