We focus on the Chinese market for several reasons. First, the earliest human cases of COVID-19 were reported in China in December 2019 [8]. The sample period in this study is from 10 January to 31 March 2020, which shows the early evidence on the effect of continued increasing public health threats, driven by COVID-19, on the stock market. Second, China is the largest emerging market and the second-largest economy in the world, and it plays an increasingly significant role in globalization. Third, the institutional development across provinces in China is uneven, which enhance the statistical power of tests on the province level effects. Overall, the research on the Chinese market reaction to the COVID-19 outbreak has profound implications for many interested parties from different countries.