摘要
Coronavirus disease 2019(COVID-19),the disease caused by the novel coronavirus SARS-CoV-2,has greatly affected financial markets,economies and societies worldwide.This study focusses on the Chinese stock markets.Based on Google Trends data during the period from 1 January 2020 to 12 April 2020,and using the exponential generalised autoregressive conditional heteroskedastic(EGARCH)model,this study finds that the higher uncertainty resulting from the COVID-19 pandemic is significantly associated with the drop in China’s composite index,but this impact varies by sectors.Simultaneously,the higher uncertainty due to COVID-19 is significantly associated with greater volatility in stock returns for both the composite index and sector indices.
