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The correlations among COVID-19, the effect of public opinion, and the systemic risks of China's financial industries.
Ouyang, Zisheng; Chen, Shili; Lai, Yongzeng; Yang, Xite.
  • Ouyang Z; School of Business, Hunan Normal University, Changsha, 410081, China.
  • Chen S; School of Finance, Hunan University of Technology and Business, Changsha, 410205, China.
  • Lai Y; Department of Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada, N2L 3C5.
  • Yang X; Business School, Sichuan University, Chengdu, 610064, China.
Physica A ; 600: 127518, 2022 Aug 15.
Article in English | MEDLINE | ID: covidwho-1983815
ABSTRACT
In this paper, we use the improved event study method to analyze the changes in the systemic risk trends of various financial sectors after the outbreak of COVID-19. The analysis is based on the daily return data of 45 Chinese financial institutions from January 2, 2019, to November 30, 2020. The improved event study method is also used to explore the horizontal, trend, and public opinion effects of the systemic risk. The empirical analysis results show that (1) the occurrence of COVID-19 will increase the level and volatility of systemic risk in the financial industry. (2) After the outbreak of COVID-19, there is no horizontal effect in all financial industries. The banking and securities industries have significant and longer-lasting positive trend effects, and from the perspective of trend effects, in the face of external shocks, the banking industry is more stable than the securities industry. (3) After the outbreak of COVID-19, the banking and securities industries have a public opinion effect, which is gradually weakened; but there is no public opinion effect in the insurance industry.
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Full text: Available Collection: International databases Database: MEDLINE Type of study: Experimental Studies / Prognostic study Language: English Journal: Physica A Year: 2022 Document Type: Article Affiliation country: J.physa.2022.127518

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Full text: Available Collection: International databases Database: MEDLINE Type of study: Experimental Studies / Prognostic study Language: English Journal: Physica A Year: 2022 Document Type: Article Affiliation country: J.physa.2022.127518