The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model

Nicholas Apergis, Emmanuel Apergis

Research output: Contribution to journalArticlepeer-review

26 Citations (Scopus)


This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases,
have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.
Original languageEnglish
Pages (from-to)1175-1183
Number of pages9
JournalAsia-Pacific Journal of Accounting and Economics
Issue number5
Early online date3 Sep 2020
Publication statusPublished - 1 Sep 2022


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