Fears for COVID-19: The crash risk of stock market
Fears for COVID-19: The crash risk of stock market
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发表时间：
2020-09
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通讯作者：
Zhifeng Liu;T. Huynh;Peng-Fei Dai
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作者：
Zhifeng Liu;T. Huynh;Peng-Fei Dai
本文研究了COVID-19疫情对中国股市崩盘风险的影响。我们首先估计 GARCH-S 模型回报分布的条件偏度，作为上海证券交易所股票市场崩盘风险的代理。然后，我们利用百度指数的数据构建了对 COVID-19 的恐惧指数。我们的研究结果表明，条件偏度对确诊病例总数的每日增长呈负向反应，表明疫情增加了股市崩盘的风险。此外，我们发现恐惧情绪也加剧了崩盘风险。特别是，恐惧情绪在 COVID-19 对崩盘风险的影响中发挥着重要作用。当人们恐慌情绪高涨时，股市崩盘风险受疫情影响更为严重。每日死亡和全球病例的证据表明了这种稳健性。
This paper investigates the impact of COVID-19 epidemic on the Chinese stock market crash risk. We first estimate conditional skewness of the return distribution from the GARCH-S model as the proxy of the equity market crash risk for the Shanghai Exchange Stock Market. Then, we construct a fear index for COVID-19 using the data from Baidu Index. Our findings show that the conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the epidemic increases the crash risk of stock market. Furthermore, we find that the fear sentiment also exacerbates the crash risk. In particular, the fear sentiment plays a significant role in the impact of COVID-19 on the crash risk. When the fear sentiment among people is high, the stock market crash risk is affected by the epidemic more seriously. Evidence from the daily deaths and global cases shows the robustness.