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Asia-Pacific Financial Markets
Published in: Asia-Pacific Financial Markets 2/2021

31-08-2020 | Original Research

Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market

Authors: Dehua Shen, Wei Zhang

Published in: Asia-Pacific Financial Markets | Issue 2/2021

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Abstract

This paper investigates the distinct market reactions to the COVID-19 outbreak by focusing on two groups of stocks in the Chinese stock market, i.e., the stay-at-home (SAH) stocks, and the go-outsides (GO) stocks. The empirical results mainly reveal that: (1) for the GO stocks, there exists a significantly negative return on the event date and the cumulative abnormal return reveals reversal pattern; (2) for the SAH stocks, no significantly negative return is observed on the event date and the cumulative abnormal return continues to increase; and (3) generally speaking, the reaction of the GO stocks supports the price pressure hypothesis, while the reaction of the SAH stocks supports the information diffusion hypothesis. Our results suggest that investors in the Chinese stock market could moderately interpret the good news but underestimate the bad news.
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Appendix
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Metadata
Title
Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market
Authors
Dehua Shen
Wei Zhang
Publication date
31-08-2020
Publisher
Springer Japan
Published in
Asia-Pacific Financial Markets / Issue 2/2021
Print ISSN: 1387-2834
Electronic ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-020-09322-4

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