China's Multi-Level Capital Market Volatility Under Covid-19 Epidemic

4 Pages Posted: 14 Mar 2023 Last revised: 11 Apr 2023

See all articles by Zeteng Lin

Zeteng Lin

Hong Kong University of Science and Technology (Guangzhou); Southern University of Science and Technology

Zewei Lin

South China Agricultural University

Date Written: May 1, 2020

Abstract

This paper analyzes the impact of China's multi-level or cross-market volatility during the COVID-19 epidemic period. We use two key time points to analyze based on the event study method. Empirical findings indicate that the COVID-19 epidemic, as a signal, has a longer negative impact than a positive impact. The Main Board and Growth Enterprise Market exhibit more minor market reaction fluctuations towards epidemic-related events. In contrast, investors in the Science and Technology Innovation Board and H shares exhibit greater uncertainty in their reactions. The heterogeneous impacts on the multi-level capital market's response to epidemic news in China can be attributed to different expectations regarding the spread of the epidemic. During the first wave of the global epidemic, China's multi-level capital market exhibited consistent volatility characteristics. What we study supports the empirical short-term impact research from the COVID-19 stock market shock.

Keywords: stock market; event study; unexpected respond

JEL Classification: D14; G12; G15

Suggested Citation

Lin, Zeteng and Lin, Zewei, China's Multi-Level Capital Market Volatility Under Covid-19 Epidemic (May 1, 2020). Australasian Finance and Banking Conference Annual Meeting 2020, Available at SSRN: https://ssrn.com/abstract=4381220 or http://dx.doi.org/10.2139/ssrn.4381220

Zeteng Lin

Hong Kong University of Science and Technology (Guangzhou) ( email )

Clean Water Bay, Kwoloon
Guangzhou, China
Hong Kong, KY 511458
Hong Kong

Southern University of Science and Technology ( email )

No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, CA Guangdong 518055
China

Zewei Lin (Contact Author)

South China Agricultural University ( email )

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