Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

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Fama French Three Factor Model in Chinese Stock Market during Covid-19

Authors
Ningrong Cai1, *, Danqing Song2, Yiqing Zhang2, Zhuoqun Zhang3
1Department of Statistical Science, University College London, London, WC1E 6BT, UK
2Department of Economics, London School of Economics and Political Science, London, WC2A 2AE, UK
3School of International Business, Tianjin Foreign Studies University, Tianjin, 300278, China
*Corresponding author. Email: d.song5@lse.ac.uk
Corresponding Author
Ningrong Cai
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_68How to use a DOI?
Keywords
Fama French Three Factor Model; Chinese Stock Market; VIX; Covid-19
Abstract

Many papers in the empirical finance literature examine the Fama-French three-factor model of stock returns in different markets. This paper applied the three-factor model to the Chinese stock market in the Covid-19 specific period and made a comparison with the pre-Covid model application to distinguish the impact of a pandemic shock on the model. Factors under the cross-sectional regression model become less significant during the shock and hence this paper further provides a possible improvement on the model under the shock by adding the stock market’s expectation of volatility as a proxy of market anticipation. The empirical results indicate that the additional factor added is significantly negatively associated with the stock return. As a whole, results are reasonably consistent with the Fama-French three-factor model.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
978-94-6463-052-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_68How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ningrong Cai
AU  - Danqing Song
AU  - Yiqing Zhang
AU  - Zhuoqun Zhang
PY  - 2022
DA  - 2022/12/27
TI  - Fama French Three Factor Model in Chinese Stock Market during Covid-19
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 581
EP  - 592
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_68
DO  - 10.2991/978-94-6463-052-7_68
ID  - Cai2022
ER  -