The Impact Of COVID-19 Pandemic On Industry Heterogeneity Of China’s Stock Market

On December 8,2019,the first confirmed case of COVID-19(covid-19)was found in Wuhan,Hubei Province.Then,on January 9,2020,the first new crown patient died,and the epidemic spread throughout the country..Today,after more than two years,the epidemic is still of great concern.The stock market,as a wind vane of the economy,the impact of the epidemic on China’s stock market is closely related to China’s economy,which is worthy of our in-depth study.In this regard,this paper studies the influence of COVID-19 on the industry heterogeneity of China’s stock market.On the one hand,it can enrich the theoretical knowledge of the impact of the epidemic on the heterogeneity of the stock market industry in China’s academic circles,on the other hand,it can also provide reference for policy makers and investors.We are particularly concerned about the impact of COVID-19 on the industry heterogeneity of China’s stock market.This paper tries to answer whether COVID-19 has an impact on China’s stock market,whether it is positive or negative,and how it affects different industries.Whether there is mutual influence relationship between industries and what is its influence relationship.Using the event study method and EGARCH model,this paper studies the impact of the epidemic on the overall return and volatility of China’s stock market.Then the SVAR model is used to study the impact of the epidemic on the industry heterogeneity of China’s stock market.The conclusions of the study are as follows: first,COVID-19 has a significant negative impact on the stock market yield.The more serious the COVID-19 is,the more new people will be and the lower the stock market returns.The more novel coronavirus pneumonia is,the more severe the epidemic is,and the greater the fluctuation of stock market.The new COVID-19 will increase the volatility of stock market returns.Second,the impact of the epidemic on various industries has different transmission effects among different industries.Among them,transportation,leisure and entertainment,industry,finance,real estate and retail industries are most likely to have extreme fluctuations due to the common influence of other industries.Finance is the Granger cause of nine industries.It can be seen that the epidemic will not only impact various industries,but also transmit to other industries and markets through the financial market.At the same time,the impact of the epidemic on other industries indirectly affects the financial industry.Among all industries analyzed,agriculture,animal husbandry,fishery and material industries are not affected by the epidemic,and other industries are affected by the epidemic.Third,the impact of the epidemic on various industries has different directions and sustainability.The impact of the epidemic has a negative impact on the stock market as a whole,as well as transportation,leisure and entertainment,energy,finance,industry and retail industries.Real estate,medicine and health and information technology have a positive impact,but the impact on agriculture,forestry,fishery and material industries is not significant.In terms of sustainability,agriculture,animal husbandry and fishery,real estate,retail,information technology and the overall stock market are not affected by the sustainability of the epidemic.However,finance is the most volatile sector with the longest response duration.Fourth,when the epidemic affects the stock market,the degree of impact of each industry has different contributions to the whole.The fluctuation of CSI 300 in the first phase mainly comes from its stock market and financial market.In addition,it is most affected by the epidemic,and the stock market itself and financial industry account for the main contribution in the whole 12 phases.At the same time,industry,energy,real estate and retail have also made some contributions.After the impact of a standard deviation of the epidemic index,the CSI 300 has the greatest contribution from the financial,medical and real estate industries,while the contribution from the agriculture,animal husbandry,fishery and material industries is very small.Finally,according to the research conclusions,this paper puts forward optimization strategies from the aspects of real economic environment,financial environment and market participants.The specific suggestions are: implement financial support policies and improve the real economic environment,guide enterprises to explore new business models and increase innovation,guide investors’ emotions and improve the quality of investors.