Causal estimation of COVID-19 and SARS on China's stock market: evidence from a time series counterfactual prediction

References

• Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. The Journal of Asian Finance, Economics and Business, 7(7), 131–137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131
   Web of Science ®Google Scholar
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10(4), 742–758. https://doi.org/10.1093/rapstu/raaa008
   Web of Science ®Google Scholar
• Bash, A. (2020). International evidence of COVID-19 and stock market returns: An event study analysis. International Journal of Economics and Financial Issues, 10(4), 34–38. https://doi.org/10.32479/ijefi.9941
   Google Scholar
• Bertrand, M., Duflo, E., & Mullainathan, S. (2004). How much should we trust differences-in-differences estimates? The Quarterly Journal of Economics, 119(1), 249–275. https://doi.org/10.1162/003355304772839588
   Web of Science ®Google Scholar
• Brodersen, K. H., Gallusser, F., Koehler, J., Remy, N., & Scott, S. L. (2015). Inferring causal impact using Bayesian structural time-series models. The Annals of Applied Statistics, 9(1), 247–274. https://doi.org/10.1214/14-AOAS788
   Web of Science ®Google Scholar
• Chen, M. H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004
   PubMedGoogle Scholar
• Frangakis, C. E., & Rubin, D. B. (2002). Principal stratification in causal inference. Biometrics, 58(1), 21–29. https://doi.org/10.1111/j.0006-341x.2002.00021.x
   PubMed Web of Science ®Google Scholar
• Hansen, C. B. (2007a). Asymptotic properties of a robust variance matrix estimator for panel data when T is large. Journal of Econometrics, 141(2), 597–620. https://doi.org/10.1016/j.jeconom.2006.10.009
   Web of Science ®Google Scholar
• Hansen, C. B. (2007b). Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects. Journal of Econometrics, 140(2), 670–694. https://doi.org/10.1016/j.jeconom.2006.07.011
   Web of Science ®Google Scholar
• He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID –19's impact on stock prices across different sectors – An event study based on the Chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198–2212. https://doi.org/10.1080/1540496X.2020.1785865
   Web of Science ®Google Scholar
• Hoque, M. E., Soo Wah, L., & Zaidi, M. A. S. (2019). Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach. Economic Research-Ekonomska Istraživanja, 32(1), 3700–3732. https://doi.org/10.1080/1331677X.2019.1675078
   Web of Science ®Google Scholar
• Huo, X., & Qiu, Z. (2020). How does China's stock market react to the announcement of the COVID-19 pandemic lockdown? Economic and Political Studies, 8(4), 436–461. https://doi.org/10.1080/20954816.2020.1780695
   Web of Science ®Google Scholar
• Jeris, S. S., & Nath, R. D. (2020). Covid-19, oil price and U.K. economic policy uncertainty: Evidence from the ARDL approach. Quantitative Finance and Economics, 4(3), 503. https://doi.org/10.3934/QFE.2020023
   Web of Science ®Google Scholar
• Lee, Y. M., & Wang, K. M. (2015). Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates. Economic Research-Ekonomska Istraživanja, 28(1), 749–772. https://doi.org/10.1080/1331677X.2015.1084889
   Web of Science ®Google Scholar
• Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38, 101690. https://doi.org/10.1016/j.frl.2020.101690
   PubMed Web of Science ®Google Scholar
• Mirza, N., Hasnaoui, J. A., Naqvi, B., & Rizvi, S. K. A. (2020). The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak. Swiss Journal of Economics and Statistics, 156(1), 1–7. https://doi.org/10.1186/s41937-020-00066-6
   Google Scholar
• Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. A. (2020). Price reaction, volatility timing and funds' performance during Covid-19. Finance Research Letters, 36, 101657. https://doi.org/10.1016/j.frl.2020.101657
   PubMed Web of Science ®Google Scholar
• Mirza, N., Rahat, B., Naqvi, B., & Rizvi, S. K. A. (2020). Impact of Covid-19 on corporate solvency and possible policy responses in the EU. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.09.002
   PubMedGoogle Scholar
• Pandey, D. K., & Kumari, V. (2021). Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak. International Review of Economics & Finance, 71, 467–483. https://doi.org/10.1016/j.iref.2020.09.014
   Web of Science ®Google Scholar
• Obradović, S., & Tomić, N. (2017). The effect of presidential election in the USA on stock return flow – A study of a political event. Economic Research-Ekonomska Istraživanja, 30(1), 112–124. https://doi.org/10.1080/1331677X.2017.1305802
   Web of Science ®Google Scholar
• Rizvi, S. K. A., Mirza, N., Naqvi, B., & Rahat, B. (2020). Covid-19 and asset management in EU: A preliminary assessment of performance and investment styles. Journal of Asset Management, 21(4), 281–291. https://doi.org/10.1057/s41260-020-00172-3
   Web of Science ®Google Scholar
• Shaeri, K., & Katircioğlu, S. (2018). The nexus between oil prices and stock prices of oil, technology and transportation companies under multiple regime shifts. Economic Research-Ekonomska Istraživanja, 31(1), 681–702. https://doi.org/10.1080/1331677X.2018.1426472
   Web of Science ®Google Scholar
• Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the U.S. economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496
   PubMed Web of Science ®Google Scholar
• Solon, G. (1984). Estimating autocorrelations in fixed-effects models (No. t0032). National Bureau of Economic Research. https://doi.org/10.3386/t0032
   Google Scholar
• Tang, C. F. (2013). The linkage between stock price and economic growth in Australia: A chicken-and-egg paradox? Economic Research-Ekonomska Istraživanja, 26(2), 99–116. https://doi.org/10.1080/1331677X.2013.11517609
   Web of Science ®Google Scholar
• Yarovaya, L., Mirza, N., Abaidi, J., & Hasnaoui, A. (2021). Human capital efficiency and equity funds’ performance during the COVID-19 pandemic. International Review of Economics & Finance, 71, 584–591. https://doi.org/10.1016/j.iref.2020.09.017
   Web of Science ®Google Scholar