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Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Author

Listed:
  • Ahmed Ghorbel
  • Mohamed Fakhfekh
  • Ahmed Jeribi
  • Amine Lahiani

    (LEO - Laboratoire d'Économie d'Orleans [2022-...] - UO - Université d'Orléans - UT - Université de Tours - UCA - Université Clermont Auvergne)

Abstract

Purpose The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic. Design/methodology/approach By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic. Findings The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs. Originality/value The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Suggested Citation

  • Ahmed Ghorbel & Mohamed Fakhfekh & Ahmed Jeribi & Amine Lahiani, 2022. "Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period," Post-Print hal-03810101, HAL.
    • Handle: RePEc:hal:journl:hal-03810101
    DOI: 10.1108/JRF-11-2021-0179
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    Cited by:

    1. 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).
    2. Rahat, Birjees & Nguyen, Pascal, 2022. "Risk-adjusted investment performance of green and black portfolios and impact of toxic divestments in emerging markets," Energy Economics, Elsevier, vol. 116(C).
    3. Mirza, Nawazish & Umar, Muhammad & Mangafic, Jasmina, 2023. "Covid-19 vaccines and investment performance: Evidence from equity funds in European Union," Finance Research Letters, Elsevier, vol. 53(C).

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