The Impact of COVID-19 on Chinese Stock Market Across Different Sectors: An Empirical Analysis Using the Regression Method

The outbreak and spread of the epidemic has had a direct impact on the global economy and the stock markets. We divided the market into 17 subsectors and under our observation, we found that the fluctuations in log returns coincide with the epidemic data. Our empirical results showed that the daily growth rate of confirmed cases has indeed had a negative impact on industry returns, but the extent varies across industries. Agriculture, Education, Electric & Heating, Environment, Construction and Lodging & Catering, Lease & Business service and Transportation are negatively affected by the epidemic significantly. Among these, Lodging & Catering is affected most deeply. In order to know which sector performed better, we carried out further analysis by adding the industry dummy variables into regression. The results implied that the returns of Finance, Information technology, Manufacture and Mining performed significantly much better, while Agriculture, Lease & Business service, Education, Environment, Health & Society, Lodging & Catering, Scientific Research and Sports & Entertainment performed worse during the COVID-19 outbreak. Among these significant industries, the best-performing industry is Manufacture and the worst-performing industry is Lodging & Catering. Besides, we regress the sample separately using 8 April 2020 (the date of unsealing in Wuhan) as the cut-off point in order to capture the variation of the effects, we found that the effects of COVID-19 have changed over time and Pharmaceutical & Biotechnology has a very high potential.疫情的爆發和蔓延對全球經濟和股票市場造成了直接影響。中國的兩個經驗性事實引發了我對於此項研究的好奇心。（1）COVID-19的爆發對中國股票市場造成了負面影響；（2）不同行業對COVID-19的反應不同。本文旨在研究COVID-19對於不同行業收益的影響。我們將市場劃分成17個子行業。在我們的觀察下，我們發現對書回報的波動與疫情數據相吻合，表明每日確診病例的增加對市場回報以及市場波動性造成了明顯的負面影響。實證結果顯示，每日確診病例的增長率確實對行業回報率存在負面影響，但對不同行業的影響程度不同。農業、教育、電力和供暖、環境、建築、住宿和餐飲、租賃和商業服務以及交通行業受到疫情顯著的負面影響，而其他行業則未收到明顯影響。其中，與其他行業相比，住宿和餐飲業受疫情影響最深。此外，我們做了深入分析以了解哪個行業相對表現更好與更差，在回歸中加入行業虚擬變量。結果表明，金融、信息技術、制造業和采礦業的回報率相對較好，而農業、租賃和商業服務、教育、環境、健康和社會、住宿和餐飲、科學研究和體育娱樂在疫情期間表現較差。在此些行業中，表現最好的是制造業，表現最差的是住宿和餐飲業。此外，我們也研究了疫情在不同時間段影響的變化，我們以2020年4月8日，即武漢解封日作分界點對於樣本分開回歸。我們發現疫情在武漢解封前後的影響是不同的且生物制藥行業在疫情期間是一個非常具有潜力的行業。SU, Jue.M.Phil. Chinese University of Hong Kong 2021.Includes bibliographical references (leaves )Abstracts in English and Chinese.Title from PDF title page (viewed on ...