The Impact of COVID-19 on Stock Market in China

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-12-30 DOI:10.54605/fec20210406

Nan Li, Yuhong Zhu

引用次数: 0

Abstract

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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新冠肺炎疫情对中国股市的影响

本文研究了2020年春节假期新冠肺炎疫情爆发前后中国股市股票模糊性、风险、流动性和股价的影响。我们使用日内交易数据来衡量股票的模糊性。新冠肺炎疫情对中国平均股票模糊度、风险和非流动性产生了显著影响，导致市场平均模糊度出现结构性断裂。而同期的股权溢价和流动性溢价变化不大。随着疫情在中国得到控制，市场平均股票模糊性和风险降低，股票流动性改善至疫情前水平。2020年下半年，如果美国新增确诊病例激增，中国股市的平均模糊性和风险将再次增加。我们还发现了一种“逃向流动性”现象，在2020年第四季度，等权重(价值加权)20个交易日的流动性溢价显著下降至约-4.42%(-6.48%)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.