COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis

COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector au...

Descripción completa

Detalles Bibliográficos
Autores principales: Xie, Qiwei, Cheng, Lu, Liu, Ranran, Zheng, Xiaolong, Li, Jingyu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9744386/
https://www.ncbi.nlm.nih.gov/pubmed/36531157
http://dx.doi.org/10.1016/j.frl.2022.103545
_version_ 1784848914558484480
author Xie, Qiwei
Cheng, Lu
Liu, Ranran
Zheng, Xiaolong
Li, Jingyu
author_facet Xie, Qiwei
Cheng, Lu
Liu, Ranran
Zheng, Xiaolong
Li, Jingyu
author_sort Xie, Qiwei
collection PubMed
description COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector autoregression and generalized forecast error variance decompositions. Stock, fund, and futures markets are identified as major risk senders, whereas other markets are identified as major risk receivers. Surprisingly, bonds, gold, and shipping are safe havens that facilitate portfolio optimization. Furthermore, using wavelet coherence analysis, we find that the coherence between dynamic total spillover and COVID-19 varies across time and frequency domains.
format Online
Article
Text
id pubmed-9744386
institution National Center for Biotechnology Information
language English
publishDate 2023
publisher Elsevier Inc.
record_format MEDLINE/PubMed
spelling pubmed-97443862022-12-13 COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis Xie, Qiwei Cheng, Lu Liu, Ranran Zheng, Xiaolong Li, Jingyu Financ Res Lett Article COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector autoregression and generalized forecast error variance decompositions. Stock, fund, and futures markets are identified as major risk senders, whereas other markets are identified as major risk receivers. Surprisingly, bonds, gold, and shipping are safe havens that facilitate portfolio optimization. Furthermore, using wavelet coherence analysis, we find that the coherence between dynamic total spillover and COVID-19 varies across time and frequency domains. Elsevier Inc. 2023-03 2022-11-29 /pmc/articles/PMC9744386/ /pubmed/36531157 http://dx.doi.org/10.1016/j.frl.2022.103545 Text en © 2022 Elsevier Inc. 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
Xie, Qiwei
Cheng, Lu
Liu, Ranran
Zheng, Xiaolong
Li, Jingyu
COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title_full COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title_fullStr COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title_full_unstemmed COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title_short COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis
title_sort covid-19 and risk spillovers of china's major financial markets: evidence from time-varying variance decomposition and wavelet coherence analysis
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9744386/
https://www.ncbi.nlm.nih.gov/pubmed/36531157
http://dx.doi.org/10.1016/j.frl.2022.103545
work_keys_str_mv AT xieqiwei covid19andriskspilloversofchinasmajorfinancialmarketsevidencefromtimevaryingvariancedecompositionandwaveletcoherenceanalysis
AT chenglu covid19andriskspilloversofchinasmajorfinancialmarketsevidencefromtimevaryingvariancedecompositionandwaveletcoherenceanalysis
AT liuranran covid19andriskspilloversofchinasmajorfinancialmarketsevidencefromtimevaryingvariancedecompositionandwaveletcoherenceanalysis
AT zhengxiaolong covid19andriskspilloversofchinasmajorfinancialmarketsevidencefromtimevaryingvariancedecompositionandwaveletcoherenceanalysis
AT lijingyu covid19andriskspilloversofchinasmajorfinancialmarketsevidencefromtimevaryingvariancedecompositionandwaveletcoherenceanalysis

Ejemplares similares