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The time-varying spillover effect of China’s stock market during the COVID-19 pandemic

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  • Liu, Xueyong
  • Chen, Zhihua
  • Chen, Zhensong
  • Yao, Yinhong

Abstract

The rapid spread of coronavirus (COVID-19) has a significant impact on the world economy, especially on the financial market. Investors are panicking about the future. This paper considers industry data and aims to investigate the impact of the pandemic on China’s stock market. The Asymmetric-GARCH-BEKK model and complex network theory were combined to construct the interaction networks. From the perspective of spillover effect, we investigated the time varying co-movement during the pandemic. The results indicate that the outbreak of COVID-19 weakens the mean spillover, but enhances the volatility spillover among China’s stock market. However, both mean spillover and volatility spillover decreased rapidly during the period of regular epidemic prevention and control. We also found that different industries have various sensitivity to the COVID-19 pandemic.

Suggested Citation

  • Liu, Xueyong & Chen, Zhihua & Chen, Zhensong & Yao, Yinhong, 2022. "The time-varying spillover effect of China’s stock market during the COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    • Handle: RePEc:eee:phsmap:v:603:y:2022:i:c:s0378437122005362
    DOI: 10.1016/j.physa.2022.127821
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    2. Lahmiri, Salim & Bekiros, Stelios & Bezzina, Frank, 2022. "Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).

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