PDF(Pubmed)
Abstract：
This study presents a thorough investigation of the relationship between the coronavirus disease 2019 (COVID-19) and daily stock price changes. We use several types of COVID-19 patients as indicators for exploring whether stock prices are significantly affected by COVID-19\'s impact. In addition, using the Chinese stock market as an example, we are particularly interested in the psychological and industrial impacts of COVID-19 on the financial market. This study makes two contributions to the literature. First, from a theoretical perspective, it shows a novel quantitative relationship between the psychological response to the pandemic and stock prices. In addition, it depicts the mechanism of the shock to the stock market by pointing out the specific functional expression of the impulse reaction. To our knowledge, this is the first theoretical calculation of the impulse of a shock to the financial market. Second, this study empirically estimates the marginal effect of the COVID-19 pandemic on fluctuations in stock market returns. By controlling for stock fundamentals, this study also estimates diverse industrial responses to pandemic stock volatility. We confirm that the COVID-19 pandemic has caused panic in the stock market, which not only depresses stock prices but also inflates volatility in daily returns. Regarding the impulse of the shock, we identify the cumulative level of the pandemic variables as well as their incremental differences. As shown by our empirical results, the terms for these differences will eventually dominate the marginal effect, which confirms the fading impulse of the shock. Finally, this study highlights some important policy implications of stock market volatility and returns to work in the industry.
摘要：
这项研究对2019年冠状病毒病(COVID-19)与每日股价变化之间的关系进行了彻底调查。我们使用几种类型的COVID-19患者作为指标，探讨股票价格是否受到COVID-19影响的显著影响。此外,以中国股市为例，我们对COVID-19对金融市场的心理和工业影响特别感兴趣。本研究对文献有两个贡献。首先,从理论的角度来看，它显示了对大流行的心理反应与股价之间的新颖定量关系。此外,它通过指出冲动反应的具体功能表现来描述股市冲击的机理。据我们所知,这是对金融市场冲击冲动的首次理论计算。第二,这项研究实证估计了COVID-19大流行对股市收益波动的边际效应。通过控制股票基本面，这项研究还估计了不同的行业对大流行股票波动的反应。我们证实，COVID-19大流行在股市引起了恐慌，这不仅压低了股价，而且加剧了每日收益的波动性。关于冲击的冲动，我们确定了大流行变量的累积水平以及它们的增量差异.正如我们的实证结果表明，这些差异的术语最终将主导边际效应，这证实了冲击的消逝冲动。最后,这项研究强调了股市波动和行业回报的一些重要政策含义。
