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COVID-19 and stock market nexus: evidence from Shanghai Stock Exchange
Economic Research-Ekonomska Istraživanja Pub Date : 2021-07-08 , DOI: 10.1080/1331677x.2021.1941181
Chuanjian Li 1 , Chi-Wei Su 2 , Mehmet Altuntaş 3 , Xin Li 2
Affiliation  

Abstract

The outbreak of the contagious pandemic Covid-19 has disturbed various economic and business activities across the globe. This has resulted in the declination of cash flows and revenues, which significantly increases the probability of corporate bankruptcies and adversely affects the stock market performance. The current study investigated the Covid-19 and stock market nexus whilst considering the Shanghai Stock Exchange (SSX). Covid-19 active cases and deaths have been considered proxies for the Covid-19 from 1 April 2020 to 30 July 2020. For empirical analysis, this study utilised quantile regression and dynamic ordinary least squares (DOLS). Empirical findings of both quantile regression and DOLS illustrate that both the Covid-19 active cases and deaths significantly decline the SSX closing index. However, the quantile estimates reveal that from lower (0.25) quantile to medium (0.50) to higher (0.75) quantile, the magnitude of these variables is found declining. Moreover, the frequency domain causality test confirmed the unidirectional causal relationship between the study variables, running from Covid-19 cases and deaths to the SSX. The findings are robust, which leads to providing practical policy implications that identified the need to revise health-finance-related policies and financial education to combat such circumstances in the future.



中文翻译:

COVID-19 与股市关系:来自上海证券交易所的证据

摘要

传染性大流行 Covid-19 的爆发扰乱了全球各种经济和商业活动。这导致现金流和收入下降,这大大增加了公司破产的可能性,并对股市表现产生不利影响。目前的研究调查了 Covid-19 和股市的关系,同时考虑了上海证券交易所 (SSX)。从 2020 年 4 月 1 日到 2020 年 7 月 30 日,Covid-19 活跃病例和死亡被认为是 Covid-19 的代表。为了进行实证分析,本研究使用了分位数回归和动态普通最小二乘法 (DOLS)。分位数回归和 DOLS 的实证结果表明,Covid-19 活跃病例和死亡病例均显着降低了 SSX 收盘指数。然而,分位数估计显示,从较低 (0.25) 分位数到中等 (0.50) 到较高 (0.75) 分位数,这些变量的大小呈下降趋势。此外,频域因果关系检验证实了研究变量之间的单向因果关系,从 Covid-19 病例和死亡到 SSX。研究结果是强有力的,这导致提供实际的政策影响,确定有必要修改与卫生金融相关的政策和金融教育,以应对未来的这种情况。

更新日期:2021-07-08
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