COVID-19 Pandemic and Stock Market Contagion Between the Chinese Mainland and Hong Kong

Wen Luo; Xianghan Cao

doi:10.54097/fbem.v12i2.14610

Authors

Wen Luo
Xianghan Cao

DOI:

https://doi.org/10.54097/fbem.v12i2.14610

Keywords:

COVID-19 pandemic; Contagion effect; Granger causality model; Stock market.

Abstract

This study utilizes stock market data from March 2020 to December 2022, employing VAR models and Granger causality models to investigate the daily returns and contagion effect of the CSI 300 and the HSI in Hong Kong. Based on this, the analysis explores the impact of the pandemic on the contagion effect between the mainland Chinese and Hong Kong stock markets. The research findings indicate that during the pandemic period, there exists a unidirectional Granger causality relationship from the Hong Kong stock market to the mainland Chinese stock market. The pandemic has intensified the connection between mainland China and Hong Kong, significantly increasing their mutual influence. The overall trends of the two stock markets are consistent, with the mainland Chinese market exhibiting smoother fluctuations during this period.

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