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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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Autores principales: Aloui, Riadh, Ben Jabeur, Sami, Mefteh-Wali, Salma
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
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
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author Aloui, Riadh
Ben Jabeur, Sami
Mefteh-Wali, Salma
author_facet Aloui, Riadh
Ben Jabeur, Sami
Mefteh-Wali, Salma
author_sort Aloui, Riadh
collection PubMed
description 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 COVID-19 pandemic, stock markets were positively related and systemic risk was comparable for all countries. However, during the COVID-19 outbreak, the level of dependence increased for all G7 countries and the upside–downside risk spillovers become on average higher for all stock markets, with the exception of Japan. Our results also provide evidence of higher market risk exposure to information from China for the technology and energy sectors. Moreover, we find an asymmetric risk spillover from China to the G7 stock markets, with higher intensity in downside risk spillovers before and during COVID-19 spread.
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spelling pubmed-92648162022-07-08 Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis Aloui, Riadh Ben Jabeur, Sami Mefteh-Wali, Salma Res Int Bus Finance Full Length Article 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 COVID-19 pandemic, stock markets were positively related and systemic risk was comparable for all countries. However, during the COVID-19 outbreak, the level of dependence increased for all G7 countries and the upside–downside risk spillovers become on average higher for all stock markets, with the exception of Japan. Our results also provide evidence of higher market risk exposure to information from China for the technology and energy sectors. Moreover, we find an asymmetric risk spillover from China to the G7 stock markets, with higher intensity in downside risk spillovers before and during COVID-19 spread. Elsevier B.V. 2022-12 2022-07-08 /pmc/articles/PMC9264816/ /pubmed/35822062 http://dx.doi.org/10.1016/j.ribaf.2022.101709 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 Full Length Article
Aloui, Riadh
Ben Jabeur, Sami
Mefteh-Wali, Salma
Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title_full Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title_fullStr Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title_full_unstemmed Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title_short Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
title_sort tail-risk spillovers from china to g7 stock market returns during the covid-19 outbreak: a market and sectoral analysis
topic Full Length Article
url 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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