Research on Anomalies of China’s Stock Market Before, During, and After COVID19

Abstract

This paper uses China’s A-share stock data from January 2000 to September 2023 and constructs 114 anomalies. The sample period is divided into three parts: before, during, and after COVID-19. Out of 114, 38 anomalies have significant value-weighted long-short raw returns and 58 anomalies have significant equal-weighted long-short raw returns at the 5% level before COVID-19. The liquidity anomalies are quite significant and had some momentum effect in China’s A-share stock market before COVID-19. 10 anomalies have significant equal-weighted long-short returns and only 1 anomaly has significant value-weighted long-short returns at the 5% level. However, the number of significant value-weighted liquidity anomalies increased after risk adjustment with the CH3 model and the CH4 model, respectively. The CH3 model and the CH4 model do not explain the liquidity anomalies during COVID-19 well. 12 anomalies have significant equal-weighted long-short raw returns and 11 anomalies have significant value-weighted long-short raw returns after COVID-19. The liquidity and risk anomalies are significant in China’s A-share stock market after COVID-19.