Factors affecting Stock Returns, Stock Return Volatility and Stock liquidity under the COVID-19 situation: A Case study of the banking sector in Shanghai Stock Market
Abstract
This research aims to test whether the Covid-19 cases and deaths as well as other stock indicators have significant relationships with the stock market return, liquidity and volatility under the banking sector in the Chinese stock market. The researcher applies a quantitative method for the data measurement. The data was collected from several reliable resources such as tradingview.com, Sina news, WHO website and so on. Fixed effect panel regression model is used in this research to test the hypothesis. The regression results indicate that the daily growth in the total number of confirmed cases and the total number of confirmed deaths caused by COVID-19 has no significant effects on the stock market returns and price volatility. The daily growth in the total number of confirmed cases caused by COVID-19 has some significant negative effects on the stock liquidity. Moreover, the trading volume of stocks, Price-Book ratio has significant positive effects on the stock market return, volatility, and negative effects on stock liquidity; while market capitalization has significant positive effects on the stock liquidity, negative effects on stock return volatility. The study indicates that stock market investors should focus more on other factors such as financial ratio (P/E ratio), GDP, interest rate, those relevant indicators might also affect the stock return volatility and stock trading liquidity, as well as affect the return on the stock. Researchers are recommended to understand that Covid-19 pandemic cannot always affect the stock return, stock liquidity and stock price volatility. Moreover, investors can get some ideas about finding good investment opportunities under the covid-19 after reading this research.
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Copyright (c) 2023 AU Virtual International Conference on " Entrepreneurship & Sustainability in Digital Era" under the theme of "Challenges of Organizational & Business Management in Dynamic Digital Dimension"
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