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Stock market comovements: Evidence from the COVID-19 pandemic
The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The...
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier B.V.
2021
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Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8523215/ https://www.ncbi.nlm.nih.gov/pubmed/34691197 http://dx.doi.org/10.1016/j.jeca.2021.e00228 |
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author | Zehri, Chokri |
author_facet | Zehri, Chokri |
author_sort | Zehri, Chokri |
collection | PubMed |
description | The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The results show a large spillover effect from the US to East Asian stock markets. Compared to the tranquil period, these spillovers become stronger in the COVID-19 period. The findings show that indirect spillovers on the Chinese stock market are heavier than direct spillovers, and impacts deluge only via Hong Kong. The study contrasts spillover’ features of the US COVID-19 shock and the Chinese 2015 crisis. These findings provide useful support for policymakers and risk managers involved in the East Asian stock markets. |
format | Online Article Text |
id | pubmed-8523215 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Elsevier B.V. |
record_format | MEDLINE/PubMed |
spelling | pubmed-85232152021-10-20 Stock market comovements: Evidence from the COVID-19 pandemic Zehri, Chokri J Econ Asymmetries Article The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The results show a large spillover effect from the US to East Asian stock markets. Compared to the tranquil period, these spillovers become stronger in the COVID-19 period. The findings show that indirect spillovers on the Chinese stock market are heavier than direct spillovers, and impacts deluge only via Hong Kong. The study contrasts spillover’ features of the US COVID-19 shock and the Chinese 2015 crisis. These findings provide useful support for policymakers and risk managers involved in the East Asian stock markets. Elsevier B.V. 2021-11 2021-10-13 /pmc/articles/PMC8523215/ /pubmed/34691197 http://dx.doi.org/10.1016/j.jeca.2021.e00228 Text en © 2021 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 Zehri, Chokri Stock market comovements: Evidence from the COVID-19 pandemic |
title | Stock market comovements: Evidence from the COVID-19 pandemic |
title_full | Stock market comovements: Evidence from the COVID-19 pandemic |
title_fullStr | Stock market comovements: Evidence from the COVID-19 pandemic |
title_full_unstemmed | Stock market comovements: Evidence from the COVID-19 pandemic |
title_short | Stock market comovements: Evidence from the COVID-19 pandemic |
title_sort | stock market comovements: evidence from the covid-19 pandemic |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8523215/ https://www.ncbi.nlm.nih.gov/pubmed/34691197 http://dx.doi.org/10.1016/j.jeca.2021.e00228 |
work_keys_str_mv | AT zehrichokri stockmarketcomovementsevidencefromthecovid19pandemic |