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dc.contributor.authorApergis, Nicholas
dc.contributor.authorApergis, Emmanuel
dc.date.accessioned2020-09-16T11:02:08Z
dc.date.available2020-09-16T11:02:08Z
dc.date.issued2020-09-03
dc.identifier.citationApergis, N., and Apergis, E., (2020). 'The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model'. Asia-Pacific Journal of Accounting & Economics, pp. 1-10.en_US
dc.identifier.issn1608-1625
dc.identifier.doi10.1080/16081625.2020.1816185
dc.identifier.urihttp://hdl.handle.net/10545/625161
dc.description.abstractThis paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherTaylor & Francisen_US
dc.relation.urlhttps://www.tandfonline.com/toc/raae20/currenten_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectResearch Subject Categories::SOCIAL SCIENCESen_US
dc.subjectstock market returns; Covid19; China; GARCHX modelen_US
dc.titleThe role of Covid-19 for Chinese stock returns: evidence from a GARCHX modelen_US
dc.typeArticleen_US
dc.identifier.eissn2164-2257
dc.contributor.departmentUniversity of Derbyen_US
dc.contributor.departmentUniversity of Huddersfielden_US
dc.identifier.journalAsia-Pacific Journal of Accounting & Economicsen_US
dcterms.dateAccepted2020-08-18
dc.author.detail786373en_US


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