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Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors

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  • Hanif, Waqas
  • Mensi, Walid
  • Vo, Xuan Vinh

Abstract

This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. We use Copula and Conditional Value at Risk approaches. The results show evidence of asymmetric tail dependence during the COVID-19 outbreak with the exception of the Utilities sector, where a symmetric tail dependence is found. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. The risk spillover is higher from the US to China before COVID-19 and from China to the US during COVD-19 spread, which is significantly intensified between March 2020 and April 2020.

Suggested Citation

  • Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh, 2021. "Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612321000039
    DOI: 10.1016/j.frl.2021.101922
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    More about this item

    Keywords

    COVID-19; Stock sectors; Spillovers; Copula; CoVaR;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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