School of Economics and Management, Hainan Normal University, Haikou, China.
School of Economics, Henan university, Kaifeng, China.
Environ Sci Pollut Res Int. 2023 Jan;30(5):12596-12607. doi: 10.1007/s11356-022-22680-y. Epub 2022 Sep 16.
COVID-19 unexpectedly ensnared the entire world and wreaked havoc on global economic and financial systems. The stock market is sensitive to black swan events, and the COVID-19 disaster was no exception. Against this backdrop, this study explores the impact of COVID-19 and economic policy uncertainty (EPU) on Chinese stock markets' returns for the period spanning January 23, 2020 to August 04, 2021. The outcomes of the novel quantile-on-quantile regression analysis revealed that both COVID-19 and EPU had a significant negative impact on both Shanghai and Shenzhen stock market returns, while COVID-19 aggravated the level of economic uncertainty in both financial markets. The quantile causality approach of Troster et al. (2018) validates our main estimations. We conclude that COVID-19 and a high level of EPU enervated the returns of China's leading stock markets. Our study provides key insights to policymakers and market participants to determine the behavior of China's stock market returns vis-à-vis COVID-19 during the peak of the pandemic and beyond. Specifically, our findings apprise portfolio investors to augment their portfolio diversification fronts.
COVID-19 出人意料地席卷全球，对全球经济和金融体系造成了严重破坏。股票市场对黑天鹅事件很敏感，COVID-19 灾难也不例外。在此背景下，本研究探讨了 COVID-19 和经济政策不确定性（EPU）对 2020 年 1 月 23 日至 2021 年 8 月 04 日期间中国股票市场收益的影响。新型分位数-分位数回归分析的结果表明，COVID-19 和 EPU 对上海和深圳股票市场收益都有显著的负面影响，而 COVID-19 加剧了两个金融市场的经济不确定性水平。Troster 等人（2018）的分位数因果关系方法验证了我们的主要估计。我们的结论是，COVID-19 和高水平的 EPU 削弱了中国主要股票市场的收益。我们的研究为政策制定者和市场参与者提供了关键的见解，以确定 COVID-19 大流行高峰期及以后中国股票市场收益的行为。具体来说，我们的研究结果告知投资组合投资者增加其投资组合多元化的前沿。
