The Impact of the COVID-19 Pandemic on the Stock Market Returns: Evidence from the Chinese Stock Market

Abstract

This study investigates the association between the Chinese stock market returns and the COVID-19 pandemic. The empirical results reveal that the COVID-19 pandemic negatively impacts stock market returns. We report our findings first by investigating the stock market returns from the firms in the stock connect program (traded by foreign investors) compared to the domestic stock market. Second, the evidence shows that the firms from high-tech companies have a low negative impact on the stock market returns during the COVID-19 pandemic relative to that of low-tech companies. However, the empirical results demonstrate that strengthened short stock market returns activity is associated with stock price volatility during the COVID-19 pandemic.