COVID-19对中国股市的影响:EGARCH方法

IF 1.5 4区社会学 Q2 SOCIAL SCIENCES, INTERDISCIPLINARY

Economic and Political Studies-EPS Pub Date : 2020-04-26 DOI:10.1080/20954816.2020.1814548

Kerry Liu

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引用次数: 20

摘要

由新型冠状病毒SARS-CoV-2引起的新型冠状病毒病2019 (COVID-19)对全球金融市场、经济和社会造成了重大影响。本研究以中国股市为研究对象。基于2020年1月1日至2020年4月12日谷歌Trends数据，并使用指数广义自回归条件异方差(EGARCH)模型，本研究发现，COVID-19大流行导致的更高不确定性与中国综合指数的下降显著相关，但这种影响因行业而异。同时，新冠肺炎带来的更高不确定性与综合指数和行业指数的股票回报波动较大显著相关。

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The effects of COVID-19 on Chinese stock markets: an EGARCH approach

Abstract Coronavirus disease 2019 (COVID-19), the disease caused by the novel coronavirus SARS-CoV-2, has greatly affected financial markets, economies and societies worldwide. This study focusses on the Chinese stock markets. Based on Google Trends data during the period from 1 January 2020 to 12 April 2020, and using the exponential generalised autoregressive conditional heteroskedastic (EGARCH) model, this study finds that the higher uncertainty resulting from the COVID-19 pandemic is significantly associated with the drop in China’s composite index, but this impact varies by sectors. Simultaneously, the higher uncertainty due to COVID-19 is significantly associated with greater volatility in stock returns for both the composite index and sector indices.

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来源期刊

Economic and Political Studies-EPS SOCIAL SCIENCES, INTERDISCIPLINARY-

CiteScore

5.60

自引率

4.20%

发文量