The impact of COVID-19 vaccines on China’s overall and sectoral stock returns: a quantile-based analysis

ABSTRACT

This research analyzes the response of China’s stock market returns (overall and sector-specific) to COVID-19 vaccines. We examine these relationships using quantile-on-quantile (QQR) regression and causality-in-quantile (CQ) approaches. The empirical results show that the higher quantiles of COVID-19 vaccines propel the higher quantiles of the Shanghai stock returns (SSR). Simultaneously, the higher quantiles of COVID-19 vaccines negatively influence the lower quantiles of the Shanghai stock returns. On the sectoral level, consumer discretionary, basic materials, industrial, utilities, and telecommunication sectors exhibit similar trends to those observed in the Shanghai stock market. The study emphasizes that COVID-19 vaccines tend to increase Shanghai stock returns during bullish market condition, and this impact becomes adverse when the market showcases a bearish trend. These findings serve as insights for policymakers, investors, and other stakeholders.

KEYWORDS:

• COVID-19 vaccines
• stock returns
• quantile-on-quantile regression
• quantile causality
• China

JEL CLASSIFICATION:

• G10
• G11
• G18

Disclosure statement

No potential conflict of interest was reported by the author(s).

Data availability statement

The datasets used during the current study are available from the corresponding author upon reasonable request.

Notes

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