Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis

This study uses a combination of copulas and CoVaR to investigate risk spillovers from China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock and equity sectors for the period from January 1, 2013 to June 9, 2021, the main empirical results show that, before the COV...

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Detalles Bibliográficos
Autores principales: Aloui, Riadh, Ben Jabeur, Sami, Mefteh-Wali, Salma
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Full Length Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9264816/
https://www.ncbi.nlm.nih.gov/pubmed/35822062
http://dx.doi.org/10.1016/j.ribaf.2022.101709

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9264816/
https://www.ncbi.nlm.nih.gov/pubmed/35822062
http://dx.doi.org/10.1016/j.ribaf.2022.101709

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