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Wang, Zeying (2022) Chinese Stock Market Response To COVID-19: An Example of An Event Study Method. [Dissertation (University of Nottingham only)]

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Abstract

This thesis analyses the response of the Chinese stock market and eight sector-specific indices to the coronavirus disease 2019 in China. This research adopts an event study method, using the day of the Wuhan lockdown as the event date, (-130, -10) as the estimated window period and (0, 47) as the event window. The Shanghai Stock Exchange Composite Index, Consumer Staples, Emerging Industries, Energy, Environmental Protection, Healthcare, Financials, Telecommunications, and Transportation Services sector indices' abnormal returns and cumulative abnormal returns are calculated during the event window, and their statistical significance is determined based on t-values.

The findings show that the Shanghai Stock Exchange Composite Index and sector indices exhibit strong negative reactions on the event date, but as the event progressed, the performance of the reactions is inconsistent across sectors, with some sectors showing positive reactions at different times. Overall, the healthcare and telecommunications sectors performed better during the lockdown period. In short, the positive reaction of the Chinese equity market is attributed to the rapid response of the Chinese government, which plays a positive role in addressing the pandemic.

Item Type:	Dissertation (University of Nottingham only)
Keywords:	Chinese Stock Market; Shanghai Stock Composite Index; Eight Industry Indices; Respond to COVID-19; Event Study Method
Depositing User:	Wang, Zeying
Date Deposited:	06 Jul 2023 12:41
Last Modified:	06 Jul 2023 12:41
URI:	https://eprints.nottingham.ac.uk/id/eprint/70536

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