The Impact of Covid-19 on the Securities Market: Evidence from Chinese Stock and Bond Markets

The paper explores how the COVID-19 pandemic gives an impact on Chinese stock and bond markets. We conduct a Vector Autoregressive (VAR) model and use the Granger causality test to analyze the impact of COVID-19 on the securities market and the transfer of risk between the stock market and the bond market. The empirical results show that the COVID-19 pandemic has a significant negative impact on the stock market and a significant positive impact on the bond market. The volatility of the stock market affects the bond market, but the volatility of the bond market does not affect the stock market. Our findings suggest that investors and regulators should raise risk awareness and properly transfer assets between the stock market and the bond market. (C) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0) Peer-review under responsibility of the scientific committee of the International Conference on Identification, Information and Knowledge in the internet of Things, 2020.