Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis

Song, Ge; Xia, Zhiqing; Basheer, Muhammad Farhan; Shah, Syed Mehmood Ali

doi:10.1080/1331677x.2021.1957971

Cited by 11 publications

(7 citation statements)

References 55 publications

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“…Aladesanmi's study also demonstrates a closer link between US and UK stock market yields and volatility following the formation of EMU [11]. The study by Song et al even points out that the Ganger causal effect between the U.S. and Chinese stock markets is more pronounced after the epidemic crisis than before the epidemic [12]. Thus, by examining the long-term effects of the epidemic on U.S. stocks, a rough idea of the long-term impact of the epidemic on global stock markets can be get.…”

Section: Introductionmentioning

confidence: 93%

The Long-term Impact of Covid-19 on US Stock Market: Evidence from Time Series Model

Zhao¹

2023

BCPBM

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The COVID-19 had a obvious impact on the world economy. Both the real economy and the financial markets suffered a huge negative impact in the short term. Considerable studies have pointed out that stock markets suffered a considerable negative impact on yields and volatility in the short-term following the outbreak, but few studies have explored the long-term impact of COVID-19 on stock markets. This research hopes to complement this part of the study. This study investigates the impact of the number of daily new cases on the three major U.S. stock indices, i.e., NASDAQ, S&P 500, and DJI yields and volatility, by developing a VAR model and an ARMA-GARCHX model. The results of this study show that the number of COVID-19 new cases will only have a negative impact on stock yields on that day and will not have a long-term impact. And the number of new cases is negatively related to stock volatility. This study shows that after nearly three years of COVID-19 persistence, it no longer causes widespread panic and irrational behavior, and stock volatility has started to fall back. This result helps to build confidence that people will return to the stock market.

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Section: Introductionmentioning

confidence: 93%

The Long-term Impact of Covid-19 on US Stock Market: Evidence from Time Series Model

Zhao¹

2023

BCPBM

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“…When two or more markets move in a similar direction, co-movement among the asset classes is substantially increased. This movement might moderate the returns or portfolio diversification benefits (Song et al 2021). It is noteworthy that this fusion might change the degree of co-movement in response to the portfolio adjustment (Xiao and Dhesi 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Sahabuddin

Islam

Tabash

et al. 2022

JRFM

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The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors’ decisions (behavior and psychology). We use frequency–time bands and multi-scale-based wavelet analysis to investigate the co-movement between developed and emerging countries’ stock markets for better asset allocation and portfolio diversification strategies. The results show that a significant level of co-movement is observed between conventional and Islamic stock markets in developed and emerging countries, and it varies in terms of its time–frequency domain properties. Particularly, the dependency among conventional and Islamic stock markets is strong at 4–512-band scales. However, the USA Islamic stock market illustrates a higher level of coherency with the UK, Japan and China’s Islamic stock markets, while a relatively lower level of co-movement is detected with the Chinese composite, Malaysian and Indonesian Islamic stock markets. The findings further confirm that the developed countries’ stock markets are substantially influenced by the GFC in 2007–2008 and the European debt crisis in 2012, while this trend is surprisingly not observed in the emerging markets on a similar scale. Therefore, these crises have opened the door for the grabbing of portfolio diversification benefits from the emerging countries’ stock markets. These findings give some interesting insights to policymakers, investors and fund managers for portfolio diversification and risk management strategies.

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“…That is the reason why researchers probe into the possible consequences of this pandemic over the market integration. However, most of the research work has been conducted with reference to developed nations like Song et al (2021) examined the volatility spillover between USA and China in pre-covid period and during covid crises. EGARCH results confirmed asymmetric volatility spillover effect from China to US.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Now the novel coronavirus also caused great oscillations across the world. Some researchers found substantial evidence of significant impact of coronavirus on developed markets (Ali et al, 2020;Zhang et al, 2021b;Song et al, 2021;Youssef et al, 2021;Gao et al, 2021). But studies aimed at investigating the impact of covid-19 on the international linkages of Indian stock market with other countries are in dearth.…”

Section: Statement Of Problemmentioning

confidence: 99%

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

Bhardwaj

Sharma

Mavi

2022

Business, Management and Economics Engineering

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Purpose –The study aims at exposing any possible impact of COVID-19 on short-run and long-run financial integration among five emerging Asian economies viz., China, South Korea, India, Indonesia and Taiwan. Research methodology – Daily closing indices of selected countries have been analyzed from January 2010 – September 2021. The integration among the selected economies has been examined for long-run and short-run through Johansan co-integration and Granger causality tests respectively. Findings – The analysis revealed that coronavirus weakened integration among nations. The absence of long-run integration was observed after the onset of COVID-19. During pre-covid period, unidirectional as well as bi-directional causal relations were present, but after the outbreak of COVID-19, only South Korea and China reported short-term linkage. Research limitations – The results are subject to the limitation of limited data and reference period. Further, daily returns of different stock markets are subject to domestic shock which has not been analyzed in the present study. Practical implications – Since the absence of integration indicates an ample opportunity for risk minimization through international diversification of the portfolio, the results are expected to be very useful for investors, researchers and regulators. Originality/Value – In present times, researchers are showing keen interest to know the possible impact of COVID-19 on linkages of international financial markets. However in spite of being rapidly growing economies, countries selected in the present study have not been explored much. The present study aims to bridge this research gap.

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Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis

Cited by 11 publications

References 55 publications

The Long-term Impact of Covid-19 on US Stock Market: Evidence from Time Series Model

The Long-term Impact of Covid-19 on US Stock Market: Evidence from Time Series Model

Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

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