The Impact of COVID-19 on the Relation Between Retail Investors’ Trading and Stock Returns in the Chinese Market

Bing, Tao

doi:10.46557/001c.19015

Cited by 16 publications

(12 citation statements)

References 11 publications

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“…Akram et al (2021) explored whether the Indian states follow a similar transition phase in COVID-19 cases. Bing (2021) examines the relationship between retail investor's flow and returns for the Chinese stock markets and finds that the positive feedback trading during the pandemic is much stronger than the pre-COVID-19 situation. Within the non-parametric technique framework, Fasanya et al (2021) investigate the stock markets' predictability using the disease-based uncertainty index in the Asia-Pacific energy stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Rakshit

Neog

2021

SEF

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Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

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Section: Literature Reviewmentioning

confidence: 99%

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Rakshit

Neog

2021

SEF

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“…Second, our findings add to understanding the behavior of Asian financial markets during the COVID-19 pandemic (see, for instance, Devpura, 2020;Bing, 2021;Yang and Deng, 2021;Gil-Alana, and Claudio-Quiroga, 2020;Sharma, 2020).…”

Section: Introductionmentioning

confidence: 86%

Understanding Market Reaction to Covid-19 Monetary and Fiscal Stimulus in Major Asean Countries

Rizvi¹,

Juhro²,

Narayan³

2021

BEMP

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In this paper, we examine the effect of fiscal and monetary policy stimulus actions during the COVID-19 pandemic on the stock markets of four ASEAN countries, namely, Indonesia, Singapore, Malaysia, and Thailand. Using time-series regression models, we show the relative importance of monetary and fiscal policies. Our findings suggest that 7-days after the policy announcement, fiscal policies helped cushion financial market losses in Indonesia, Singapore and Thailand. We do not find any robust evidence of policy effectiveness for Malaysia. While our investigation is preliminary it opens an additional avenue for understanding the effectiveness of policy stimulus.

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“… Espinosa-Méndez and Arias (2021) show significantly increased herding behavior in European markets during the COVID-19 pandemic. Bing (2021) shows that the positive feedback trading following negative returns during the COVID-19 period is much stronger.…”

Section: Literature Reviewmentioning

confidence: 96%

The Impact of COVID-19 on the Relation Between Retail Investors’ Trading and Stock Returns in the Chinese Market

Cited by 16 publications

References 11 publications

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Understanding Market Reaction to Covid-19 Monetary and Fiscal Stimulus in Major Asean Countries

COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market

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