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.
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收藏
页数：10
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