The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi; Zhou, Long; Chen, Yajiao; Liu, Fang

doi:10.1016/j.najef.2022.101688

Cited by 10 publications

(3 citation statements)

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“…Second, our analysis for the first time captures how market participants perceive jump-tail risks, i.e., the risk of rare, albeit disruptive, events, and how they react to a financial crisis and a rare disaster, such as the COVID-19 pandemic ( Pukthuanthong and Roll, 2015 , Zhang et al, 2022 ). Market participants’ perceptions of tail risk may hinder the economic recovery from large shocks, such as the COVID-19 pandemic shock, or even weigh on long-term growth prospects.…”

Section: Introductionmentioning

confidence: 99%

The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index

Apergis

Mustafa

Malik

2023

The Quarterly Review of Economics and Finance

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Section: Introductionmentioning

confidence: 99%

The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index

Apergis

Mustafa

Malik

2023

The Quarterly Review of Economics and Finance

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“…Например, с использованием высокочастотных данных подтвердилась гипотеза о скачкообразном заражении (jump contagion) японского фондового рынка и ряда других азиатских рынков (Гонконга, Южной Кореи, Сингапура и др.) [Zhang et al 2022]. Авторы обнаружили высокую интенсивность таких скачков, нелинейность их динамики, а также большой вклад в рост волатильности финансовых индикаторов.…”

Section: странаunclassified

Financial crises and financial contagion in Japan

Ovcharov

2023

ЯИ

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The article analyzes the features of the financial crises in Japan in the context of using theoretical and practical approaches to financial contagion. A brief overview of the three significant financial crises observed in the period 1990–2009 is made with the identification of their causes, nature, and consequences. A strong impact on the Japanese economy was exerted by the banking crisis of 1997–2001, which became one of the most noticeable events of the “lost decade”. Its lessons allowed the Japanese government to overcome with minimal losses the global financial crisis of 2007–2009, which negatively affected not so much the credit and stock markets as the real sector of the Japanese economy and its foreign trade.It is productive to consider the spread of crises from the standpoint of the theory and methodology of financial contagion. It is a process of transmission of negative shocks that can lead to the disruption of fundamental links between countries and markets, thereby contributing to the growth of crises and instability. The article shows that Japan can act as both a transmitter and a recipient of infection. Examples of studies that examine the channels and direction of financial contagion in Japan are given. Its important feature is that the main channel for the transmission of shocks in a given country are trade relations, and not the financial ones. Taking this circumstance into account explains the effectiveness of the policy of supporting the real sector of the economy pursued by the Japanese government during the global financial crisis of 2007–2009.In order to illustrate the methodology of financial contagion, the article conducted an empirical study of the country and cross-industry effects of infection in the Japanese economy during the COVID-19 period. A specific infection detection tool (statistical tests) and an extensive empirical database were used. As a result, the country effects were confirmed only partially – Japan was the recipient of the financial contagion that came from China, but only weakly transferred it to other countries. Cross-industry infection spread more actively (it was recorded by more than a half of the tests). At the same time, uneven transmission of shocks between sectors was detected; possible causes of high or low susceptibility to infection in different sectors were discussed.

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“…Moreover, it contrasted from other earlier dramatic events caused by economic and financial circumstances, including the Asian financial crisis in 1997-1998 or the European debt crisis in 2010-2013 (Dong et al 2022). Nevertheless, the similarity of these downturns is that they commenced in one nation or area and spread rapidly to other markets, prompting considerable disruption in the worldwide financial system (Zhang et al 2022). Thus, COVID-19 has been regarded as an "exogenous shock" or potentially a "black swan", as it was such a rare occurrence that has major repercussions for stock markets without any reasonable anticipation (Costola et al 2023).…”

mentioning

confidence: 95%