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COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets

This study investigates the impact of COVID-19 vaccinations on volatility (risk) spillovers among major Asia-Pacific stock markets. Utilizing both mean-based and quantile-based connectedness approaches, we examine the evolving patterns and network structure of risk spillovers not only on average but...

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Autores principales: Li, Yanshuang, Shi, Yujie, Shi, Yongdong, Yi, Shangkun, Zhang, Weiping
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10024965/
http://dx.doi.org/10.1016/j.pacfin.2023.102004
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author Li, Yanshuang
Shi, Yujie
Shi, Yongdong
Yi, Shangkun
Zhang, Weiping
author_facet Li, Yanshuang
Shi, Yujie
Shi, Yongdong
Yi, Shangkun
Zhang, Weiping
author_sort Li, Yanshuang
collection PubMed
description This study investigates the impact of COVID-19 vaccinations on volatility (risk) spillovers among major Asia-Pacific stock markets. Utilizing both mean-based and quantile-based connectedness approaches, we examine the evolving patterns and network structure of risk spillovers not only on average but also in the extreme left and right tails. Risk spillovers are typically stronger under extreme shocks. A common regularity observed in the dynamics of standard (average) and extreme risk spillovers is that there are fewer risk spillovers after the launch of the COVID-19 vaccines. We also conduct a series of regression analyses to investigate the association between spillover levels and vaccination rates. The regression results support that an increase in vaccinations is associated with an decrease in standard risk spillovers. Besides, it is observed that vaccinations have an asymmetric impact on the extreme downside-tail and upside-tail risk spillovers. Further, panic sentiment is identified as a potential channel through which vaccinations affect spillovers. Our findings point to the role of COVID-19 vaccinations in stabilizing the Asia-Pacific stock markets by reducing risk spillovers.
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spelling pubmed-100249652023-03-21 COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets Li, Yanshuang Shi, Yujie Shi, Yongdong Yi, Shangkun Zhang, Weiping Pacific-Basin Finance Journal Article This study investigates the impact of COVID-19 vaccinations on volatility (risk) spillovers among major Asia-Pacific stock markets. Utilizing both mean-based and quantile-based connectedness approaches, we examine the evolving patterns and network structure of risk spillovers not only on average but also in the extreme left and right tails. Risk spillovers are typically stronger under extreme shocks. A common regularity observed in the dynamics of standard (average) and extreme risk spillovers is that there are fewer risk spillovers after the launch of the COVID-19 vaccines. We also conduct a series of regression analyses to investigate the association between spillover levels and vaccination rates. The regression results support that an increase in vaccinations is associated with an decrease in standard risk spillovers. Besides, it is observed that vaccinations have an asymmetric impact on the extreme downside-tail and upside-tail risk spillovers. Further, panic sentiment is identified as a potential channel through which vaccinations affect spillovers. Our findings point to the role of COVID-19 vaccinations in stabilizing the Asia-Pacific stock markets by reducing risk spillovers. Elsevier B.V. 2023-06 2023-03-15 /pmc/articles/PMC10024965/ http://dx.doi.org/10.1016/j.pacfin.2023.102004 Text en © 2023 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Li, Yanshuang
Shi, Yujie
Shi, Yongdong
Yi, Shangkun
Zhang, Weiping
COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title_full COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title_fullStr COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title_full_unstemmed COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title_short COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
title_sort covid-19 vaccinations and risk spillovers: evidence from asia-pacific stock markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10024965/
http://dx.doi.org/10.1016/j.pacfin.2023.102004
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