scholarly journals Impact of Wuhan Lockdown in Early Stage of COVID-19 Outbreak on Sector Returns in Chinese Stock Market

2021 ◽  
Vol 56 (2) ◽  
pp. 524-533
Author(s):  
Venus Khim-Sen Liew
Keyword(s):  
Health Care ◽  
Information Technology ◽  
Stock Market ◽  
Stock Exchange ◽  
Early Stage ◽  
Composite Index ◽  
Abnormal Returns ◽  
Chinese Stock Market ◽  
The Face ◽  
Short Run

The unprecedented Wuhan lockdown due to the outbreak of the COVID-19 pandemic provides a natural experiment that will elucidate its immediate impact on the stock market. Event study methodology is adopted to identify any short-run abnormal returns in the Shanghai Stock Exchange Composite Index and its ten component sectors. This paper reports empirical evidence on the negative short-run impact of the Wuhan lockdown in the face of the pandemic outbreak on all component sectors of the Shanghai Stock Exchange Composite. The health care and information technology sectors, which helped considerably in the fight against the pandemic, were resilient and outperformed the general market in the Shanghai Stock Exchange despite the lockdown. The eight other sectors performed at par with the general market. This confirmation of the counter-cyclical nature of the health care and information technology sectors during the lockdown, which enabled them to overcome the pandemic outbreak, provides valuable insights with which investors can adjust their portfolios in similar situations in the future in a timely manner.

scholarly journals Portfolio Learning Based on Deep Learning

2020 ◽  
Vol 12 (11) ◽  
pp. 202
Author(s):  
Wei Pan ◽  
Jide Li ◽  
Xiaoqiang Li
Keyword(s):  
Deep Learning ◽  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Composite Index ◽  
Series Data ◽  
High Dimensional ◽  
Chinese Stock Market ◽  
High Return ◽  
Stock Information

Traditional portfolio theory divides stocks into different categories using indicators such as industry, market value, and liquidity, and then selects representative stocks according to them. In this paper, we propose a novel portfolio learning approach based on deep learning and apply it to China’s stock market. Specifically, this method is based on the similarity of deep features extracted from candlestick charts. First, we obtained whole stock information from Tushare, a professional financial data interface. These raw time series data are then plotted into candlestick charts to make an image dataset for studying the stock market. Next, the method extracts high-dimensional features from candlestick charts through an autoencoder. After that, K-means is used to cluster these high-dimensional features. Finally, we choose one stock from each category according to the Sharpe ratio and a low-risk, high-return portfolio is obtained. Extensive experiments are conducted on stocks in the Chinese stock market for evaluation. The results demonstrate that the proposed portfolio outperforms the market’s leading funds and the Shanghai Stock Exchange Composite Index (SSE Index) in a number of metrics.

scholarly journals Chinese stock market sectoral indices performance in the time of novel coronavirus pandemic

2020 ◽  
Author(s):  
Venus Khim-Sen Liew ◽  
Chin-Hong Puah
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Descriptive Analysis ◽  
Composite Index ◽  
Chinese Stock Market ◽  
Health Care Information ◽  
Stock Market Performance ◽  
Health Care Information Technology ◽  
Novel Coronavirus ◽  
Regulatory Commission

Abstract This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sectorial indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, descriptive analysis is performed on these indices to compare their performances before and during the lockdown period. Next, regression analysis with Exponential Generalized Autoregressive Conditional Heteroscedasticity specification is estimated to quantify the pandemic effect on the Chinese stock market. This paper finds that health care, information technology and telecommunication services sectors were relatively more pandemic-resistant, while other sectors were more severely hurt by the pandemic outbreak. The extent to which each sector was affected by pandemic and sentiments in other financial and commodity markets were reported in details in this paper. The findings of this paper are resourceful for investors to avoid huge loss amid pandemic outburst and the China Securities Regulatory Commission in handling future pandemic occurrence to cool down excessive market sentiments.

scholarly journals Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China

SAGE Open ◽  
2021 ◽  
Vol 11 (1) ◽  
pp. 215824402199065
Author(s):  
Wei Huang ◽  
Meng-Shiuh Chang
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Investment Strategy ◽  
Chinese Stock Market ◽  
Safe Haven ◽  
Copula Models ◽  
Government Bonds ◽  
Market Turbulence ◽  
Vine Copula

We examine whether gold and China’s government bonds are safe-haven assets against the turbulence of the Shanghai Stock Exchange Composite Index by employing vine copula models during the 2003 to 2015 period. We find that either bonds or gold can be a weak safe haven but only gold can be a strong safe haven. Our simultaneous analysis advises against a joint safe-haven strategy of gold and bonds, given the high- to low-tail correlation. This result highlights an investment strategy of using a single safe-haven asset against the Chinese stock market turbulences.

scholarly journals Chinese Stock Market Sector Indices Performance in the Time of Novel Coronavirus Pandemic

2020 ◽  
Author(s):  
Venus Khim-Sen Liew Liew ◽  
Chin-Hong Puah
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Descriptive Analysis ◽  
Composite Index ◽  
Chinese Stock Market ◽  
Health Care Information ◽  
Stock Market Performance ◽  
Health Care Information Technology ◽  
Novel Coronavirus ◽  
Regulatory Commission

This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sector indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, descriptive analysis is performed on these indices to compare their performances before and during the lockdown period. Next, regression analysis with Exponential Generalized Autoregressive Conditional Heteroscedasticity specification is estimated to quantify the pandemic effect on the Chinese stock market. This paper finds that health care, information technology and telecommunication services sectors were relatively more pandemic-resistant, while other sectors were more severely hurt by the pandemic outbreak. The extent to which each sector was affected by pandemic and sentiments in other financial and commodity markets were reported in details in this paper. The findings of this paper are resourceful for investors to avoid huge loss amid pandemic outburst and the China Securities Regulatory Commission in handling future pandemic occurrence to cool down excessive market sentiments.

scholarly journals Performance of Shanghai Composite Index and Sector Indices in The Beginning of Novel Coronavirus Pandemic

2021 ◽  
Vol 13 (1) ◽  
pp. 1
Author(s):  
Venus Khim-Sen Liew ◽  
Chin-Hong Puah
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Descriptive Analysis ◽  
Composite Index ◽  
Chinese Stock Market ◽  
Health Care Information ◽  
Stock Market Performance ◽  
Health Care Information Technology ◽  
Novel Coronavirus ◽  
Regulatory Commission

This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sector indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, descriptive analysis is performed on these indices to compare their performances before and during the lockdown period. Next, regression analysis with Exponential Generalized Autoregressive Conditional Heteroscedasticity specification is estimated to quantify the pandemic effect on the Chinese stock market. This paper finds that health care, information technology and telecommunication services sectors were relatively more pandemic-resistant, while other sectors were more severely hurt by the pandemic outbreak. The extent to which each sector was affected by pandemic and sentiments in other financial and commodity markets were reported in details in this paper. The findings of this paper are resourceful for investors to avoid huge loss amid pandemic outburst and the China Securities Regulatory Commission in handling future pandemic occurrence to cool down excessive market sentiments.

scholarly journals THE SHORT-TERM AND LONG-TERM TRADE-OFF BETWEEN RISK AND RETURN: CHAOS VS RATIONALITY

2019 ◽  
Vol 21 (1) ◽  
pp. 23-43
Author(s):  
Chang Liu ◽  
Haoming Shi ◽  
Liang Wu ◽  
Min Guo
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Rank Test ◽  
Chinese Stock Market ◽  
Short Term ◽  
Risk And Return ◽  
Long Run ◽  
Short Run ◽  
A Share

This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the Shanghai Stock Exchange during January 1, 1997 to December 31, 2017. A portfolio was then built according to the mean variance model of portfolio structure, and simulation results were analysed using the Wilcoxon Signed Rank Test. The relationship between risk and return in the long and short term was explored. Results indicated no significant relationship between the risk and return of the stock portfolio in the short run, which reflects the complexity of the Chinese stock market. However, in the long run, the risk and return of the stock portfolios are positively correlated, which means that high returns are accompanied by high risks, indicating that the stock market will eventually return to rationality. In other words, the A-share stock market will eventually return to be value-driven and the short-term speculators would be outweighed by long-term value investors.

META-ANALYSIS ON AMERICAN PRESIDENTIAL ELECTION - 2016 AND AMERICAN STOCK MARKET

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Farhan Ahmed ◽  
Salman Bahoo ◽  
Sohail Aslam ◽  
Muhammad Asif Qureshi
Keyword(s):  
Content Analysis ◽  
Stock Market ◽  
Event Study ◽  
Presidential Election ◽  
Republican Party ◽  
Stock Exchange ◽  
Meta Analysis ◽  
Composite Index ◽  
Stock Index ◽  
Political Event

This paper aims to analyze the efficient stock market hypothesis as responsive to American Presidential Election, 2016. The meta-analysis has been done combining content analysis and event study methodology. The all major newspapers, news channels, public polls, literature and five important indices as Dow Jones Industrial Average (DJIA), NASDAQ Stock Market Composit Indexe (NASDAQ-COMP), Standard & Poor's 500 Index (SPX-500), New York Stock Exchange Composite Index (NYSE-COMP) and Other U.S Indexes-Russell 2000 (RUT-2000) are critically examined and empirically analyzed. The findings from content analysis reflect that stunned winning of Mr Trump from Republican Party worked as shock for American stock market. From event study, findings confirmed that all the major indices reflected a decline on winning of Trump and losing of Ms. Clinton from Democratic. The results are supported empirically and practically through the political event like BREXIT that resulted in shock to Global stock index and loss of $2 Trillion.

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

scholarly journals Presidential Election Results and Stock Market Performance: Evidence From Nigeria

2018 ◽  
Vol 5 (2) ◽  
pp. 117
Author(s):  
A.E. Osuala ◽  
U.A. Onoh ◽  
G.U. Nwansi
Keyword(s):  
Stock Market ◽  
Presidential Election ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Election Result ◽  
Stock Market Performance ◽  
Event Date ◽  
Study Methodology ◽  
Election Results

The study investigates the effect of Presidential election results on the performance of an emerging stock market using the case of the 2011 and 2015 Presidential elections in Nigeria. Adopting Event Study methodology to analyse the secondary data obtained from the Nigerian Stock Exchange (NSE) and some national dailies, the results of the study suggest that the 2011 presidential election result had negative significant impact on the performance of the stock market. On the other hand, the 2015 Presidential election result had positive but insignificant impact on the stock market as evidenced by the average and cumulative abnormal returns on the event date and one day post-event date- an indication that the result of the 2015 Presidential election was a welcomed development as leadership changed from PDP to All Progressives Congress (APC).

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