Did COVID-19 increase equity market risk exposure? Evidence from China, the UK, and the US

Figures & data

Table 1. Summary statistics of VaR (95% CI), CVaR, and Covid-19 figure regression estimates

	VaR (95% CI)
	Average Loss			Maximum Loss			CVaR
	China
	Mega-Cap	Mid-Cap	Small-Cap	Mega-Cap	Mid-Cap	Small-Cap	Mega-Cap	Mid-Cap	Small-Cap
Normal	−1.304	−1.250	−1.570	−1.517	−1.900	−2.226	−1.944	−2.039	−2.178
Shock	−2.204	−2.356	−2.557	−9.595	−10.897	−13.483	−4.107	−4.642	−5.132
Endurance	−1.880	−1.929	−2.027	−5.252	−5.231	−4.754	−3.181	−3.277	−3.467
Covid-19 regression estimates
New cases per 100k (${\hat{b}}_1$)	1.347*	1.817**	3.033***
Deaths per 100k (${\hat{b}}_2$)	−0.720	−1.336	0.200
	UK
	Large-Cap	Mid-Cap	Small-Cap	Large-Cap	Mid-Cap	Small-Cap	Large-Cap	Mid-Cap	Small-Cap
Normal	−1.327	−1.404	−0.879	−3.362	−2.902	−1.262	−2.448	−1.916	−1.290
Shock	−3.536	−3.550	−2.876	−9.546	−10.362	−10.616	−6.625	−7.206	−7.079
Endurance	−1.983	−1.854	−1.420	−2.177	−2.345	−1.842	−2.650	−2.513	−2.088
Covid-19 regression estimates
New cases per 100k (${\hat{b}}_1$)	−0.049***	−0.055***	−0.044***
Deaths per 100k (${\hat{b}}_2$)	0.912***	1.261***	0.660**
	US
	Mega-Cap	Mid-Cap	Small-Cap	Mega-Cap	Mid-Cap	Small-Cap	Mega-Cap	Mid-Cap	Small-Cap
Normal	−1.179	−1.342	−1.515	−3.979	−3.349	−3.455	−2.400	−2.445	−2.540
Shock	−3.917	−4.922	−5.531	−14.224	−16.412	−16.261	−8.412	−10.641	−11.197
Endurance	−1.806	−2.013	−2.446	−4.185	−2.426	−4.060	−3.096	−2.634	−3.006
Covid-19 regression estimates
New cases per 100k (${\hat{b}}_1$)	−0.053***	−0.072***	−0.077***
Deaths per 100k (${\hat{b}}_2$)	−0.280	0.855	1.344

Sample period: China: Normal [3 July 2019–3 January 2020]; Shock [4 January 2020–4 July 2020]; Endurance [5 July 2020–15 December 2020]; Covid [4 January 2020–15 December 2020]. UK: Normal [31 July 2019–31 January 2020]; Shock [1 February 2020–1 August 2020]; Endurance [2 August 2020–15 December 2020]; Covid [1 February 2020–15 December 2020]. US: Normal [19 July 2019–19 January 2020]; Shock [20 January 2020–20 July 2020]; Endurance [21 July 2020–15 December 2020]; Covid [20 January 2020–15 December 2020].***, ** and * denote statistically significant levels of 1%, 5% and 10%, respectively.

Figure 1. Market returns to China, the UK, and the US, and VaR for the three subsample periods.