Do the Outbreak of COVID-19 Influence the China Stock Market?

 Jak COVID-19 wpływa na chińską giełdę?

Junaid Ashraf*, Franck Edouard Gnahe**, Fei-Ming Huang***, Zeinab Rizk****

* Jiangxi University of Finance and Economics, School of Statistics,
Nanchang 330013, Jiangxi, China
E-mail (Corresponding Author): junaidashraf2020@outlook.com,
ORCID: 0000-0002-8189-6755
**Jiangxi University of Finance and Economics, School of Finance,
Nanchang 330013, Jiangxi, China
E-mails: franckgnahe@jxufe.edu.cn, franckgnahe7@gmail.com,
ORCID: 0000-0001-7927-1310
***Jiangxi University of Finance and Economics, School of Finance,
Nanchang 330013, Jiangxi, China
E-mail: huangfeiming@jxufe.edu.cn
**** Jiangxi University of Finance and Economics, School of Statistics,
Nanchang 330013, Jiangxi, China
Damietta University, Arab of Republic of Egypt
E-mail: zeinabrizk9@gmail.com

Abstract

This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.

Key words: exchange rate, stock return, COVID-19, sustainability

JEL codes: E37; F37; E31

Słowa kluczowe: Kurs wymiany, zwrot akcji, COVID-19, zrównoważoność

Problemy Ekorozwoju 17(2)2022: 59-68

DOI: 10.35784/pe.2022.2.07

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