Which Firm-specific Characteristics Affect the Market Reaction of Chinese Listed Companies to the COVID-19 Pandemic?

Abstract

This paper investigates market reaction to the novel corona virus (COVID-19) pandemic. Using a sample of Chinese listed firms, we find that market reaction to the COVID-19 outbreak is more intense in firms within the industries that are vulnerable to the virus, and those with high institutional investors. Furthermore, firms with larger scale, better profitability and growth opportunity, higher combined leverage, and less fixed assets experience less adverse impact of the COVID-19 outbreak than other firms.

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

“…The market value of innovative businesses that adopt green technology is stable (Asadi et al, 2020; Przychodzen et al, 2020). These firms are competitive and more efficient (He et al, 2020; Nicola et al, 2020; Xiong et al, 2020). In short, companies that take sustainability criteria into account for their operation and development enjoy the advantage of having this reflected in their financial statements and market value in the long term.…”

Firm-level short selling and the local COVID-19 pandemic: Evidence from China

“…This subsection investigates whether the short selling of firms in vulnerable industries is further influenced by the local COVID-19 pandemic. According to Xiong et al (2020) , we define an industry as vulnerable if the industry is related to transportation and postal warehouse, food, hotel and tourism, real estate, video entertainment, and construction. Results are presented in Table 6 .…”

“…A strand of literature has explored the effect of the COVID-19 pandemic on stock markets. Extensive evidence suggests that the COVID-19 pandemic leads to poor stock performance (e.g., Salisu and Vo, 2020 ; Xiong et al, 2020 ; Ding et al, 2021 ; Ftiti et al, 2021 ; Xu, 2021 ). For instance, Ding et al (2021) provide international evidence on characteristics that make firms’ returns less sensitive to the COVID-19 pandemic.…”

“… VulnerableInd VulnerableIndus is an indicator variable that equals one if the firm belongs to the industries vulnerable to the COVID-19 pandemic and zero otherwise. Vulnerable industries include transportation and postal warehouse (G), food, hotel and tourism (H), real estate (E), video entertainment (R), and construction (K) ( Xiong et al, 2020 ). AfterDum AfterDum is an indicator variable that equals one if the trading date is after April 15, 2020, and zero otherwise.…”

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

“…Its impact on economy ( Makin and Layton, 2021 , Yoshino et al, 2021 , Yagi and Managi, 2021 ), government ( Sharma et al, 2020 , Tisdell, 2020 , Park and Chung, 2021 ) and publics ( Vally, 2020 , Watkins and Maruthappu, 2020 ) have unfolded. Given greater availability of data, the research about the effect of COVID-19 on stock market is rich and can be categorized into following aspects: (a) the negative effect of COVID-19 on firm and industry performances ( Gu et al, 2020 , He et al, 2020a , He et al, 2020b , Iyke, 2020a , Qin et al, 2020 , Xiong et al, 2020 ); (b) the increased stock return volatility due to the COVID-19 pandemic ( Dai et al, 2021 , Liu et al, 2020a , Liu et al, 2021 , Nguyen et al, 2021 , Phan and Narayan, 2020 ); (c) the fear sentiment because of the COVID-19 ( Ahmed, 2020 , Baig et al, 2020 , Hoang and Syed, 2021 ); (d) the risk contagion as a result of the COVID-19 pandemic ( Abuzayed et al, 2021 , Akhtaruzzaman et al, 2020 , Corbet et al, 2021 , Jiang et al, 2020 , Sharma, 2020 , Zhang et al, 2021 ). 1…”