Chang Chiu-Lan, Cai Qingyun
School of Finance and Accounting, Fuzhou University of International Studies and Trade, Fuzhou, 350202, China.
Overseas Education College, Xiamen University, Xiamen 361102, China.
Econ Anal Policy. 2023 Sep;79:168-183. doi: 10.1016/j.eap.2023.06.017. Epub 2023 Jun 13.
This study investigates the impact of COVID-19 pandemic on the Chinese stock market in 2020. Using daily data of three industries, this study addresses the identification of abnormal stock returns as a multiple hypothesis testing problem and proposes to apply a grouped comparison procedure for better detection. By comparing the numbers of daily signals and numbers of stocks with abnormal positive and negative returns, the empirical result shows that the three industries perform differently under the pandemic. Compared to the non-grouped testing procedure, the signals found by the grouped procedure are more prominent, which is advantageous for some situations when there tends to be abnormal performance clustering at the occurrence of major event. This paper on stock return anomalies gives a new perspective on the impact of major events to the stock market, like the global outbreak disease.
本研究考察了2020年新冠疫情对中国股票市场的影响。利用三个行业的日数据，本研究将异常股票回报的识别作为一个多重假设检验问题，并提出应用分组比较程序以实现更好的检测。通过比较每日信号数量以及具有异常正回报和负回报的股票数量，实证结果表明这三个行业在疫情下表现各异。与非分组检验程序相比，分组程序发现的信号更为显著，这对于重大事件发生时往往存在异常表现聚集的某些情况具有优势。本文关于股票回报异常的研究为重大事件（如全球爆发的疾病）对股票市场的影响提供了新的视角。
