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A Research on Stock Market Changes in China Caused by Covid-19 -- An Event Study Based Statistical Approach

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  • Li Cheng
  • Jermoe Kueh Swee Hui

Abstract

Event study based statistical approach is applied within the paper to facilitate a macro analysis against the overall changes of China’s stock market. Sample statistics chosen to launch such empirical study are data from China’s Growth Enterprise Market (GME) and Small and Medium Enterprises Board (SMEs) as well as those collected from the Shenzhen Stock Exchange Component Index and Shanghai Securities Composite Index. The paper analyzed the applicability of Event Study within this research, chose the market mean constant model for calculating Chinese stock market returns, and analyzed the macro tendency for CAR variation. It then took construction, finance, cultural tourism, and catering and hotel as examples to analyze the magnitude of impact Covid-19 had on major industries in the stock market. It is concluded that the change of stock market return caused by the epidemic varies among different industries.

Suggested Citation

  • Li Cheng & Jermoe Kueh Swee Hui, 2023. "A Research on Stock Market Changes in China Caused by Covid-19 -- An Event Study Based Statistical Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(4), pages 1-1, April.
    • Handle: RePEc:ibn:ijefaa:v:15:y:2023:i:4:p:1
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    References listed on IDEAS

    as
    1. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    2. Shiller, 021Robert J. & Pound, John, 1989. "Survey evidence on diffusion of interest and information among investors," Journal of Economic Behavior & Organization, Elsevier, vol. 12(1), pages 47-66, August.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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