How Does COVID-19 Impact the Efficiency of the Chinese Stock Market?: A Sliding Windows Approach

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Author(s): Paulo Ferreira (Polytechnic Institute of Portalegre, Portugal), Éder Pereira (Instituto Federal de Educação do Maranhão, Brazil), Oussama Tilfani (Faculty of Sciences and Techniques, Cadi Ayyad University, Morocco)and My Youssef El Boukfaoui (Faculty of Sciences and Techniques, Cadi Ayyad University, Morocco)
Copyright: 2021
Pages: 17
Source title: Handbook of Research on Financial Management During Economic Downturn and Recovery
Source Author(s)/Editor(s): Nuno Miguel Teixeira (Center for Research in Business and Administration, School of Business Sciences, Polytechnic Institute of Setúbal, Portugal)and Inês Lisboa (CARME, School of Management and Technology, Polytechnic of Leiria, Portugal)
DOI: 10.4018/978-1-7998-6643-5.ch025

Keywords: Accounting and Finance / Business & Management / Business Science Reference / Economics & Economic Theory

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Abstract

The spread of COVID-19, first in China and then all over the world, has had a major impact on economic and financial systems. In this chapter, the authors focus their analysis on the Chinese stock market since it was the first to be affected with relevant time to react. They use the detrended fluctuation analysis with a sliding windows approach and with minute-based data to analyse the impact of COVID-19 on the efficiency of the Chinese stock market. The results show that the Chinese stock market suffered from some kind of turbulence with high levels of dependence, but the market reacted quickly and after that turbulence recovered the efficiency pattern. This is a very relevant result that shows that this particular stock market quickly reacts to turbulent periods, very important information for investors.

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How Does COVID-19 Impact the Efficiency of the Chinese Stock Market?: A Sliding Windows Approach

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