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The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model

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  • Nicholas Apergis
  • Emmanuel Apergis

Abstract

This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.

Suggested Citation

  • Nicholas Apergis & Emmanuel Apergis, 2022. "The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 29(5), pages 1175-1183, September.
    • Handle: RePEc:taf:raaexx:v:29:y:2022:i:5:p:1175-1183
    DOI: 10.1080/16081625.2020.1816185
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    Cited by:

    1. Min Zhu & Shan Wen & Yuping Song, 2024. "Impact of COVID-19 on jump occurrence in capital markets," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-18, December.
    2. Hassan Zada & Huma Maqsood & Shakeel Ahmed & Muhammad Zeb Khan, 2023. "Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia," SN Business & Economics, Springer, vol. 3(1), pages 1-22, January.
    3. Perote, Javier & Vicente-Lorente, José D. & Zuñiga-Vicente, Jose Angel, 2023. "How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 53(C).
    4. Shutter Zor, 2024. ""Digitwashing": The Gap between Words and Deeds in Digital Transformation and Stock Price Crash Risk," Papers 2403.01360, arXiv.org.

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