China's Multi-Level Capital Market Volatility Under Covid-19 Epidemic
4 Pages Posted: 14 Mar 2023 Last revised: 11 Apr 2023
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: Suggested Citation