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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.

An analysis of skewness and kurtosis in Polish stock returns and the estimation of beta using the generalised skew student distribution

Adock C. J., Shutes K.

Management

2003

Vol. 7, no 1

213-225

This paper uses the generalised skew Student (GST) distribution to model returns on Polish stocks that are constituents of the WIG20 index. A basic analysis of returns provides strong evidence of skewness and kurtosis, both of which can be accommodated by the generalised skew Student model. Three specific forms of the GST distribution are used. These are Student's t itself, the symmetric generalised Student distribution and a specific version of the generalised skew Student distribution. The models are first used to estimate the location parameter and other parameters of the return distribution separately for each stock. Secondly, stock betas are estimated for each security by assuming that the stock specific residuals in the market model follow one of the specified forms of GST distribution. The paper also reports the results of a short portfolio selection study in which the minimum variance portfolio is constructed using the different sets of parameter estimates.