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

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

doi:10.1016/j.frl.2021.101922

Cited by 68 publications

(32 citation statements)

References 21 publications

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“…At all stages of the analysis, the response of European stock returns of China is clear obvious, indicating a transmission channel between Europe and China during the first wave of COVID-19. This result is in line with the studies that indicate China as the main transmitter of financial spillovers (Akhtaruzzaman et al, 2020;Siddiqui et al, 2020;Hanif et al, 2021). Moreover, the analysis of countries in two groups show that China's influence is greater on the stock returns of countries with the highest value in the index number of deaths per million.…”

Section: Discussionsupporting

confidence: 90%

Lessons for Euro markets from the first wave of COVID-19

Siriopoulos

Svingou

Dandu

2021

Investment Management and Financial Innovations

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Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

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Section: Discussionsupporting

confidence: 90%

Lessons for Euro markets from the first wave of COVID-19

Siriopoulos

Svingou

Dandu

2021

Investment Management and Financial Innovations

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“…The second group pointed out that the decrease in stock returns caused by the COVID‐19 outbreak had a spillover effect across global markets (Aslam et al, 2021 ; Corbet et al, 2021 ; Hanif et al, 2021 ; Shehzad, Xiaoxing, et al, 2021 ; Yarovaya et al, 2021 ). These studies showed that the panic and fears of investors have dramatically influenced the global markets.…”

Section: A Literature Review and The Variable Selectionmentioning

confidence: 99%

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

2021

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This paper investigates the resilience of environmentally friendly companies in an overwhelming economic and social environment that has been generated after the outbreak of the novel coronavirus disease (COVID‐19) pandemic. To this respect, we have investigated the cointegration between the Standard & Poor's (S&P) 500 Carbon Efficiency Index (CEI) with COVID‐19 cases, supplemented with covariates such as government response stringency to the pandemic, economic policy uncertainty, oil prices and global markets fluctuations. We have used daily data from 2nd January to 5th October 2020 and have employed a robust estimator within a Fourier approach to accommodate both sharp and smooth breaks. Our results suggest that green companies have been positively affected by the outbreak of COVID‐19. Our paper provides practical implications for companies that wish to furnish themselves with resilience during rough times and stakeholders who wish to invest in safe, long‐lasting returns.

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“…On the other hand, many studies on the impact of COVID-19 on equities have focused mainly on the quantum of spillover between markets (see, e.g., [18,[39][40][41][42][43][44][45]). However, it is evident that, under the circumstances, the driving force of these transmissions is panic or fear from the pandemic.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Owusu

Frimpong

Adam

et al. 2021

Mathematical Problems in Engineering

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This study provides an analysis of chaotic information transmission from the COVID-19 pandemic to global equity markets in a novel denoised frequency domain entropy framework. The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the diversification potentials available to them. We employ the total daily global confirmed cases of COVID-19 and 27 equity indices from December 31, 2019, to April 18, 2021. Our results corroborate the idea that diversification potentials are stronger in the short to medium term. The Global Index (higher risk) and Canada and New Zealand (lower risk) remain at both ends to pair some other equities to offer diversification prospects because of the transmission of information from COVID-19 to the selected equity markets. In addition, we provide the source of these diversification prospects as information flow rather than transmission of shocks, which is common in the literature. Furthermore, our results suggest detailed levels of risk (lower vis-à-vis higher) in the situation where they have been stripped of the noise in the market. The findings allow both investors and policymakers to make informed decisions based on the time horizons since the pandemic communicates different chaotic information with the lapse of time. This is imperative to avoid the negative consequences of the increasing infection rate on global stock markets.

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

Cited by 68 publications

References 21 publications

Lessons for Euro markets from the first wave of COVID-19

Lessons for Euro markets from the first wave of COVID-19

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

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