2021
DOI: 10.1016/j.jeca.2021.e00228
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Stock market comovements: Evidence from the COVID-19 pandemic

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… Show more

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Cited by 35 publications
(14 citation statements)
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“…In the integration context, volatility spillovers and interdependence between global equity markets are unavoidable ( Arfaoui et al, 2022 ; Maghyereh et al, 2022 ; Zehri, 2021 ; Zorgati & Garfatta, 2021 ). Volatility contagion is universally observed among affiliate stock markets, such as European stock markets ( Kanas, 1998 ); East Asian stock markets ( Yilmaz, 2010 ); Asian stock markets ( Joshi, 2011 ); North American, European, and Asian stock markets ( Singh et al, 2010 ); or even volatility transmission from stock markets in East Asia to stock markets in Southeast markets ( Wu, 2020 ).…”
Section: Theoretical Background and Research Hypothesesmentioning
confidence: 99%
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“…In the integration context, volatility spillovers and interdependence between global equity markets are unavoidable ( Arfaoui et al, 2022 ; Maghyereh et al, 2022 ; Zehri, 2021 ; Zorgati & Garfatta, 2021 ). Volatility contagion is universally observed among affiliate stock markets, such as European stock markets ( Kanas, 1998 ); East Asian stock markets ( Yilmaz, 2010 ); Asian stock markets ( Joshi, 2011 ); North American, European, and Asian stock markets ( Singh et al, 2010 ); or even volatility transmission from stock markets in East Asia to stock markets in Southeast markets ( Wu, 2020 ).…”
Section: Theoretical Background and Research Hypothesesmentioning
confidence: 99%
“…That suggests that global integration facilitates volatility spillovers. Spillover effects acquired from the U.S. stock market have been widely indicated in European stock markets ( Baele, 2002 ); Islamic stock markets ( Majdoub & Mansour, 2014 ); BRICS stock markets ( Mensi et al, 2014 , 2016 ; Sui & Sun, 2016 ); ASEAN-6 stock markets ( Vo & Tran, 2020 ); and the East Asian stock markets ( Zehri, 2021 ). Numerous pieces of evidence demonstrate that the volatility of stock markets in the U.S. and Asia during the two crises are intrinsically linked.…”
Section: Theoretical Background and Research Hypothesesmentioning
confidence: 99%
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“…According to the World Health Organization (short for WHO), over 100 million cases had been confirmed globally and over 2 million deaths had been reported as of 2 February 2021. The pandemic brought uncertainties and fears to the global economy (Altig et al, 2020) and caused wild swings in financial markets ( Al-Awadhi et al, 2020 , Baker et al, 2020 , Bai et al, 2020 ; He et al, 2020; Toda, 2020 ; Topcu and Gulal, 2020 ; Zehri, 2021 ). As one of the most sensitive indicators in the financial market, cross-border capital flows had shown significant fluctuations.…”
Section: Introductionmentioning
confidence: 99%