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Do the Outbreak of COVID-19 Influence the China Stock Market?

Ashraf Junaid, Gnahe Franck Edouard Gnahe, Huang Fei-Ming, Rizk Zeinab

Problemy Ekorozwoju

2022

Vol. 17, nr 2

59--68

This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.

Archimedean copulas for price-volume dependencies of DAX companies

Gurgul H., Syrek R.

Systems Science

2006

Vol. 32, no 2

63-90

This study deals with the empirical relations between stock returns and trading volume using stock data of DAX companies. By means of copula methodology for trading volume-returns and trading volume-volatility (contemporaneous and lagged) we try to prove the contemporaneous and dynamic structure of dependencies for a DAX stock market data set from January 1994 to December 2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition, we establish that lagged return volatility induces trading volume movements.