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The Impact of COVID-19 on Stock Market in China

Nan Li & Yuhong Zhu

Frontiers of Economics in China2021https://doi.org/10.54605/fec20210406article
ABDC C
Weight
0.42

What the paper says

This paper studies the impact of the COVID-19 on the stock ambiguity, risks, liquidity, and stock prices in China stock market, before and after the outbreak of COVID-19 during the Chinese Spring Festival holidays in 2020. We measure stock ambiguity using the intraday trading data. The outbreak of COVID-19 has a significant impact on the average stock ambiguity, risk, and illiquidity in China and induces structural break in the market average ambiguity. However, the equity premium and liquidity premium change little during the same period. The market average stock ambiguity and risks decrease, and stock liquidity improves to pre-pandemic levels as the pandemic is under control in China. The market average stock ambiguity and risks in China increase again when the confirmed new cases in the U.S. surge in the second half of 2020. We also find a “flight-to-liquidity” phenomenon, and the equally-weighted (value-weighted) 20-trading-day liquidity premium declined significantly to about –4.42% (–6.48%) during the fourth quarter of 2020.

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https://doi.org/https://doi.org/10.54605/fec20210406

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@article{nan2021,
  title        = {{The Impact of COVID-19 on Stock Market in China}},
  author       = {Nan Li & Yuhong Zhu},
  journal      = {Frontiers of Economics in China},
  year         = {2021},
  doi          = {https://doi.org/https://doi.org/10.54605/fec20210406},
}

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Evidence weight

0.42

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.19 × 0.4 = 0.08
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.