Research Article
An Empirical Study on the Relationship between China's Stock Market and the Exchange Rate under the COVID-19
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326908, author={Zhifei Cao and Dishen Pei and Zixuan Wang}, title={An Empirical Study on the Relationship between China's Stock Market and the Exchange Rate under the COVID-19}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={epidemic; the exchange rate; stock; garch modeling; adf test}, doi={10.4108/eai.18-11-2022.2326908} }- Zhifei Cao
Dishen Pei
Zixuan Wang
Year: 2023
An Empirical Study on the Relationship between China's Stock Market and the Exchange Rate under the COVID-19
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326908
Abstract
We use the GARCH model to consider the relationship between the exchange rate and stock price with an extra predictor of newly reported Corona Virus Disease 2019 (COVID-19) during the new coronary pneumonia epidemic in China. The data is from December 9, 2019, to June 18, 2021, since the whole period of COVID-19 starts on December 9, 2019, and ends at a new mutant case found on June 18, 2021, in Shenzhen. Our results show that the GARCH models have different mean functions and variances by only considering two independent predictors the exchange rate and newly reported cases in different lags. In conclusion, we could say that the exchange rate is a factor that could significantly influence the Chinese stock market. In the long term, COVID-19 will not impact the return and volatility of the Chinese stock market, which means that China's economic development is resilient.
