Jiaqi Da, Annuar Md. Nassir*,Mohd Padzil Hashim and Wei Theng Lau

Abstract:The purposes of this paper are (i) to examine 3 driving factors affecting China A-shares market performance; namely systematic risk, idiosyncratic risk, and market sentiment, and (ii) to investigate the relationship between state-owned enterprise (SOE) & non-SOE and stock returns. In addition, the study also analyze normal condition and the impacts of Sino-US trade war and Covid-19 pandemic. This study employs monthly data which is divided into two parts namely (i) 2004-2020 period and (ii) 2018-2020 period. Multiple classic asset pricing models are employed to investigate the impacts of the 3 driving factors on stock returns. The results showed that these 3 driving factors exert significant influence on China A-shares in 2004-2020, However, the impact of market sentiment is weak during the period 2018-2020. Furthermore, market risks, firm size and B/M factor show great impacts on both SOE and non-SOE, profitability factor affecting non-SOE stock return is more important than investment which improves SOE stock return. This study proposes that investors and companies pay more attention to systematic risk and idiosyncratic risk, which potentially have greater impact on the stock market and to reduce unnecessary economic losses.

Lee Chin*,Foo Yong Seong, Chen Kong San, Farhad Taghizadeh-Hesary and Woon Leong Lin

Abstract:This study explored the sustainability of the stock market against the COVID-19 pandemic. The impacts of confirmed COVID-19 cases, COVID-19 deaths, and Movement Control Order (MCO) length on the stock market were examined. The Generalized Method of Moments (GMM)estimator was employed to analyze 57 countries' weekly data from November 4th 2019 to July 5th 2020. The findings showed that the growth in confirmed COVID-19 cases has a significant negative effect on stock market returns, while the growth in COVID-19 deaths has a negative yet statistically insignificant influence on stock market returns. This study also found a non-linear inverted U-shaped relationship between the MCO period and stock market returns, implying that though the MCO has initial positive influences on the stock market, it negatively impacts the stock market after 5.7 weeks. Thus, this study argues that policy responses to the COVID-19 pandemic provide the most compelling explanation for its unprecedented impact on the sustainability of the stock market. Governments should therefore implement a partial lockdown to avoid deterioration of the national economy. Furthermore, government policies and plans to control the COVID-19 epidemic as well as economic stimulus packages to kickstart the economy play crucial roles in boosting economic growth and revitalizing the stock market.