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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۱۰ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H748
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Research in International Business and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۰ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : تاثیر COVID-19 بر ریسک سقوط بازار سهام در چین
عنوان کامل انگلیسی:
The impact of COVID-19 on the stock market crash risk in China
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Abstract
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange. We then constructed a fear index for COVID-19 using data from the Baidu Index. Based on the findings, conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the pandemic increases stock market crash risk. Moreover, the fear sentiment exacerbates such risk, especially with regard to the impact of COVID-19. In other words, when the fear sentiment is high, the stock market crash risk is more strongly affected by the pandemic. Our evidence is robust for the number of daily deaths and global cases.
Keywords: COVID-19, Fear sentiment, Investor sentiment, Stock market crash risk, Skewness
۱.Introduction
Due to the onset of the COVID-19 pandemic, there has been a significant decline in stock market prices, which has placed unprecedented pressure on global financial markets. In this regard, existing studies have examined the impact of COVID-19 on either stock market returns or volatility, with some conclusions supported by empirical evidence (Baker et al., 2020; Al-Awadhi et al., 2020; Phan and Narayan, 2020; Ashraf, 2020; Kartal et al., 2020; Zhang et al., 2020a; Sharif et al., 2020). In addition, because of the co-movement in global stock markets (Dai et al., 2019; Wen et al., 2019a, 2019b, 2019c, Dai et al., 2020), global equities have plummeted, followed by a spike in market volatility. In a related study, Baker et al. (2020) concluded that the level of market volatility (as of March 2020) could be equivalent to or even surpass previous crises, such as Black Monday (October 1987), the Global Financial Crisis (December 2008), the Great Crash (1929), and the Great Depression (the early 1930s). Schell et al. (2020) also emphasized that this time period is indeed different, implying that only COVID-19 exhibits negative returns from the Public Health Risk Emergency of International Concern (PHEIC) announcements. Thus, motivated by the literature, the present study focuses on another pivotal downside risk during the pandemic: the stock market crash risk and investor sentiment in China. Notwithstanding the literature on infectious disease outbreaks and stock market performance, this study not only quantifies the stock market crash risk in the country but also investigates the role of investor sentiment via the Baidu Index and the number of COVID-19 infected cases and deaths. In doing so, this study sheds light on how COVID-19 proxies and investor behaviors may predict equity market crash risk at the onset of a future pandemic…
۵.Conclusion
This study examined the relationship between the COVID-19 pandemic and the stock market crash risk in China. Based on the findings, COVID-19 increases stock market crash risk. This not only indicates that the pandemic will bring about a decline in stock market returns but that it will also aggravate the negative symmetry of stock market returns and will increase the possibility of extreme downturns in stock prices. We also found that even when the number of confirmed cases is not significantly large, people’s fears about the virus will increase stock market crash risk. Finally, we found that fear sentiment not only directly increases crash risk but may also boost the negative impact of COVID-19 on stock market crash risk…
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