The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

The rapid spread of coronavirus (COVID-19) has a significant impact on the world economy, especially on the financial market. Investors are panicking about the future. This paper considers industry data and aims to investigate the impact of the pandemic on China’s stock market. The Asymmetric-GARCH-...

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Detalles Bibliográficos
Autores principales: Liu, Xueyong, Chen, Zhihua, Chen, Zhensong, Yao, Yinhong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9232396/
https://www.ncbi.nlm.nih.gov/pubmed/35782685
http://dx.doi.org/10.1016/j.physa.2022.127821
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author Liu, Xueyong
Chen, Zhihua
Chen, Zhensong
Yao, Yinhong
author_facet Liu, Xueyong
Chen, Zhihua
Chen, Zhensong
Yao, Yinhong
author_sort Liu, Xueyong
collection PubMed
description The rapid spread of coronavirus (COVID-19) has a significant impact on the world economy, especially on the financial market. Investors are panicking about the future. This paper considers industry data and aims to investigate the impact of the pandemic on China’s stock market. The Asymmetric-GARCH-BEKK model and complex network theory were combined to construct the interaction networks. From the perspective of spillover effect, we investigated the time varying co-movement during the pandemic. The results indicate that the outbreak of COVID-19 weakens the mean spillover, but enhances the volatility spillover among China’s stock market. However, both mean spillover and volatility spillover decreased rapidly during the period of regular epidemic prevention and control. We also found that different industries have various sensitivity to the COVID-19 pandemic.
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spelling pubmed-92323962022-06-27 The time-varying spillover effect of China’s stock market during the COVID-19 pandemic Liu, Xueyong Chen, Zhihua Chen, Zhensong Yao, Yinhong Physica A Article The rapid spread of coronavirus (COVID-19) has a significant impact on the world economy, especially on the financial market. Investors are panicking about the future. This paper considers industry data and aims to investigate the impact of the pandemic on China’s stock market. The Asymmetric-GARCH-BEKK model and complex network theory were combined to construct the interaction networks. From the perspective of spillover effect, we investigated the time varying co-movement during the pandemic. The results indicate that the outbreak of COVID-19 weakens the mean spillover, but enhances the volatility spillover among China’s stock market. However, both mean spillover and volatility spillover decreased rapidly during the period of regular epidemic prevention and control. We also found that different industries have various sensitivity to the COVID-19 pandemic. Elsevier B.V. 2022-10-01 2022-06-25 /pmc/articles/PMC9232396/ /pubmed/35782685 http://dx.doi.org/10.1016/j.physa.2022.127821 Text en © 2022 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
Liu, Xueyong
Chen, Zhihua
Chen, Zhensong
Yao, Yinhong
The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title_full The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title_fullStr The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title_full_unstemmed The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title_short The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
title_sort time-varying spillover effect of china’s stock market during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9232396/
https://www.ncbi.nlm.nih.gov/pubmed/35782685
http://dx.doi.org/10.1016/j.physa.2022.127821
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