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Stock market comovements: Evidence from the COVID-19 pandemic

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  • Zehri, Chokri

Abstract

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.

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  • Zehri, Chokri, 2021. "Stock market comovements: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    • Handle: RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000335
    DOI: 10.1016/j.jeca.2021.e00228
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    Cited by:

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    3. Ghouse, Ghulam & Bhatti, Muhammad Ishaq & Aslam, Aribah & Ahmad, Nawaz, 2023. "Asymmetric spillover effects of Covid-19 on the performance of the Islamic finance industry: A wave analysis and forecasting," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    4. Alshater, Muneer M. & Alqaralleh, Huthaifa & El Khoury, Rim, 2023. "Dynamic asymmetric connectedness in technological sectors," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    5. Xunfa Lu & Zhitao Ye & Kin Keung Lai & Hairong Cui & Xiao Lin, 2022. "Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets," Mathematics, MDPI, vol. 10(4), pages 1-19, February.
    6. Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
    7. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    8. Ding, Haoyuan & Pu, Bo & Ying, Jiezhou, 2023. "Direct and spillover portfolio effects of COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
    9. Nguyen, Hoai Thi Thanh & Tram, Huong Thi Xuan & Nguyen, Linh Thi Thuy, 2023. "Interest rates and systemic risk:Evidence from the Vietnamese economy," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    10. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).

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