Network features of sector indexes spillover effects in China: A multi-scale view

Feng, Sida; Huang, Shupei; Qi, Yabin; Liu, Xueyong; Sun, Qingru; Wen, Shaobo

doi:10.1016/j.physa.2017.12.091

Cited by 39 publications

(13 citation statements)

References 36 publications

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“…Previous studies have investigated the relationships within US stock sectors (Livingston 1997; Roll, 1992 ; Schwartz and Altman, 1973 ) or among Chinese stock sectors ( Hao and He, 2018 ; Feng et al., 2018 ; Li et al., 2020 ; Wu et al., 2019 ). 2 To the best of our knowledge, this is the first study that examines the impacts of COVID-19 on the dependence structure and upside and downside price spillovers between US and Chinese stock sectors.…”

Section: Introductionmentioning

confidence: 99%

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

Hanif

Mensi

2021

Finance Research Letters

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This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. We use Copula and Conditional Value at Risk approaches. The results show evidence of asymmetric tail dependence during the COVID-19 outbreak with the exception of the Utilities sector, where a symmetric tail dependence is found. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. The risk spillover is higher from the US to China before COVID-19 and from China to the US during COVD-19 spread, which is significantly intensified between March 2020 and April 2020.

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Section: Introductionmentioning

confidence: 99%

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

Hanif

Mensi

2021

Finance Research Letters

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“…(2) . According to the research [38] , [39] , in the volatility spillover network,

represents the magnitude of mean and volatility spillover.…”

Section: Methodsmentioning

confidence: 99%

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

Liu

Chen

et al. 2022

Physica A: Statistical Mechanics and its Applications

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“…We then considered the weight of . By referencing Liu et al 2017and Feng et al (2018) we calculated the weight of the edges according to Equation 6 and Equation 7:…”

Section: Bekk-garch-based Volatility Spillover Networkmentioning

confidence: 99%

A Demand-Oriented Industry-Specific Volatility Spillover Network Analysis of China’s Stock Market around the Outbreak of COVID-19

Qiao

Yan

2020

Asian Economic and Financial Review

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Using a carefully selected industry classification standard, we divided 102 industry security indices in China's stock market into four demand-oriented sector groups and identified demand-oriented industry-specific volatility spillover networks. The demandoriented concept is a new way in which to reconstruct the structure of the networks. Analyzing networks from a demand-oriented perspective can improve the understanding of the change in economic demand, especially when the macroeconomy is dramatically influenced by exogenous shocks, such as those due to the outbreak of COVID-19. At the beginning of the outbreak, spillover effects from industry indices of sectors meeting the investment demand to those meeting the consumption demands rose significantly in China's stock market. However, these spillover effects declined after the outbreak containment in China appeared to be effective. In addition, some service sectors, including utility, transportation and information services, have played increasingly important roles in the networks of industry-specific volatility spillovers since the COVID-19 outbreak. The efforts to contain the outbreak, led by the Chinese government, have been successful and work resumption has been organized with high efficiency. First, the risk of investment demand has therefore been controlled and eliminated relatively quickly. Second, the intensive use of non-pharmaceutical interventions (NPIs) has led to supply restrictions in services in China, which will still be a potential threat to economic recovery in the next stage. Contribution/Originality: This is one of very few studies that has investigated the volatility spillovers in the industry-specific networks of China's stock market during the COVID-19 pandemic. The paper's primary contribution is finding the critical role that the service sectors play in the industry-specific network after the COVID-19 outbreak was contained. 1. INTRODUCTION Frequently in the stock market, fluctuations in stock prices initially occur in companies belonging to one sector and gradually spread to other sectors. China's stock market has become the second largest in the world. Up to January 2020, 3780 companies from a variety of sectors listed their shares on China's stock market, which had a total value of more than 60.38 billion RMBs (approximately equal to 8.65 trillion US dollars). Thus, it is important Asian Economic and Financial Review

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Network features of sector indexes spillover effects in China: A multi-scale view

Cited by 39 publications

References 36 publications

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

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

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

A Demand-Oriented Industry-Specific Volatility Spillover Network Analysis of China’s Stock Market around the Outbreak of COVID-19

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