The impact of COVID-19 on the stock market crash risk in China

被引：115
|
作者：
Liu, Zhifeng [1 ,6 ]
Toan Luu Duc Huynh [3 ,4 ,5 ]
Dai, Peng-Fei [2 ]
机构：
[1] Hainan Univ, Management Sch, Haikou, Hainan, Peoples R China
[2] East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China
[3] Univ Econ Ho Chi Minh City, Ho Chi Minh City, Vietnam
[4] IPAG Business Sch, Paris, France
[5] WHU Otto Beisheim Sch Management, Chair Behav Finance, Vallendar, Germany
[6] Univ Windsor, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2021年 / 57卷
基金：
中国国家自然科学基金;
关键词：
COVID-19; Fear sentiment; Investor sentiment; Stock market crash risk; Skewness; RARE DISASTERS; UNCERTAINTY; SENTIMENT; SKEWNESS; RETURNS; INDEX;
D O I：
10.1016/j.ribaf.2021.101419
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange. We then constructed a fear index for COVID-19 using data from the Baidu Index. Based on the findings, conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the pandemic increases stock market crash risk. Moreover, the fear sentiment exacerbates such risk, especially with regard to the impact of COVID-19. In other words, when the fear sentiment is high, the stock market crash risk is more strongly affected by the pandemic. Our evidence is robust for the number of daily deaths and global cases.
引用
收藏
页数：10
相关论文
共 50 条
  • [31] Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market
    Massoud Moslehpour
    Ahmad Al-Fadly
    Syed Ehsanullah
    Kwong Wing Chong
    Nguyen Thi My Xuyen
    Luc Phan Tan
    [J]. Environmental Science and Pollution Research, 2022, 29 : 28226 - 28240
  • [32] The impact of COVID-19 pandemic on hospitality stock returns in China
    Lee, Chi-Chuan
    Lee, Chien-Chiang
    Wu, Yizhong
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (02) : 1787 - 1800
  • [33] The impact of COVID-19 on stock market liquidity: Evidence from the Johannesburg Stock Exchange
    Kunjal, Damien
    [J]. AFRICAN REVIEW OF ECONOMICS AND FINANCE-AREF, 2021, 13 (02): : 104 - 123
  • [34] Impact of COVID-19 Pandemic on Stock Market: Evidence from Bombay Stock Exchange
    Dahal, Mahesh
    Das, Joy
    [J]. INTERNATIONAL JOURNAL OF ECOLOGICAL ECONOMICS & STATISTICS, 2021, 42 (03) : 22 - 38
  • [35] Market sentiment to COVID-19 and the Chinese stock market
    Xu, Liao
    Chen, Jilong
    Xu, Hao
    [J]. ACCOUNTING AND FINANCE, 2023, 63 : 1121 - 1135
  • [36] The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania
    Hatmanu, Mariana
    Cautisanu, Cristina
    [J]. INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, 2021, 18 (17)
  • [37] Brand equity and the Covid-19 stock market crash: Evidence from US listed firms
    Huang, Yuxuan
    Yang, Shenggang
    Zhu, Qi
    [J]. FINANCE RESEARCH LETTERS, 2021, 43
  • [38] COVID-19 Spread Prediction and Its Impact on the Stock market price
    Khan, Musa
    Khan, Gul Muhammad
    [J]. PROCEEDINGS OF 2ND IEEE INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE (ICAI 2022), 2022, : 140 - 146
  • [39] Short-Term Impact of COVID-19 on Indian Stock Market
    Varma, Yashraj
    Venkataramani, Renuka
    Kayal, Parthajit
    Maiti, Moinak
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2021, 14 (11)
  • [40] IMPACT OF COVID-19 ON STOCK MARKET PERFORMANCE OF TOURISM AND LEISURE INDUSTRY
    Hailemariam, Abebe
    Ivanovski, Kris
    Pan, Lei
    [J]. TOURISM ANALYSIS, 2023, 28 (02): : 329 - 335
12345