Analysis of the impact of COVID-19 pandemic on G20 stock markets

Yanshuang Li1, Zhuang Xin-tian1, Jian Wang1, Zibing Dong2
1School of Business Administration, Northeastern University, No.195, Innovation Road, Hunnan New District, Shenyang, Liaoning 110167, China
2School of Materials Science and Engineering, Northeastern University, No. 11, Lane 3, Wenhua Road, Heping District, Shenyang City, Liaoning Province 110819, China

Tóm tắt

Từ khóa


Tài liệu tham khảo

A, Halbert White, T. H. K. B, and S. M. C. (2015). VAR for VaR: Measuring tail dependence using multivariate regression quantiles.Journal of Econometrics,187(1), 169-188.

Akca, 2016, The effect of 2008 crisis on the volatility spillovers among six major markets, International Review of Finance, 16, 169, 10.1111/irfi.12071

Assaf, 2021, Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?, Resources Policy, 72, 10.1016/j.resourpol.2021.102112

Ashraf, 2020, Stock markets’ reaction to COVID-19: Cases or fatalities?, Research in International Business and Finance, 54, 10.1016/j.ribaf.2020.101249

Bae, 2003, A new approach to measuring financial contagion, Review of Financial Studies, 16, 717, 10.1093/rfs/hhg012

Baele, 2005, Volatility spillover effects in European equity markets, Journal of Financial and Quantitative Analysis, 40, 373, 10.1017/S0022109000002350

Bai, & Ye. (2014). Cross-border sentiment: an empirical analysis on EU stock markets.Applied Financial Economics, 24(4), 259-290.

Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., & Viratyosin, T. (2020). The unprecedented stock market impact of covid-19. NBER Working Papers.

Battaglia, 2013, Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis, International Review of Financial Analysis, 30, 274, 10.1016/j.irfa.2013.03.002

Baur, 2009, Flights and contagion-An empirical analysis of stock-bond correlations, Journal of Financial Stability, 5, 339, 10.1016/j.jfs.2008.08.001

Bouri, 2020, Return connectedness across asset classes around the COVID-19 outbreak, International Review of Financial Analysis, 73

Cardona, 2017, Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis, Research in International Business and Finance, 39, 115, 10.1016/j.ribaf.2016.07.008

Chen, 2007, The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach, International Journal of Hospitality Management, 26, 200, 10.1016/j.ijhm.2005.11.004

Chen, 2018, Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis, Economic Research-Ekonomska Istraživanja, 31, 908, 10.1080/1331677X.2018.1456354

Chesney, 2011, The impact of terrorism on financial markets: An empirical study, Journal of Banking & Finance, 35, 253, 10.1016/j.jbankfin.2010.07.026

Conlon, 2020, Are Cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic, Research in International Business and Finance, 54, 10.1016/j.ribaf.2020.101248

Del Giudice, 2017, The impact of the Arab spring and the Ebola outbreak on African equity mutual fund investor decisions, Research in International Business & Finance, 41, 600, 10.1016/j.ribaf.2017.05.004

Diebold, 2009, Measuring financial asset return and volatility spillovers, with application to global equity markets, Economic Journal, 119, 158, 10.1111/j.1468-0297.2008.02208.x

Diebold, 2012, Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers, International Journal of Forecasting, 1, 57, 10.1016/j.ijforecast.2011.02.006

Diebold, 2014, On the network topology of variance decompositions: Measuring the connectedness of financial firms, J. Econometrics, 182, 119, 10.1016/j.jeconom.2014.04.012

Du, 2015, Extreme risk spillovers between crude oil and stock markets, Energy Economics, 51, 455, 10.1016/j.eneco.2015.08.007

Favero C, Giavazzi F. (2020). Is the international propagation of financial shocks non-linear? Evidence from the ERM. Journal of International Economics, 2002, 57(1), 231-46.

Goodell, 2020, Covid-19 and finance: Agendas for future research, Finance Research Letters, 35, 10.1016/j.frl.2020.101512

Heyden, 2020, Market reactions to the arrival and containment of covid-19: An event study, SSRN Electronic Journal., 10.2139/ssrn.3587497

Hofstede, 2010

Huang, 2018, Systemic importance analysis of Chinese financial institutions based on volatility spillover network, Chaos Solitons & Fractals, 114, 19, 10.1016/j.chaos.2018.06.018

Ichev, 2018, Stock prices and geographic proximity of information: Evidence from the Ebola outbreak, International Review of Financial Analysis, 56, 153, 10.1016/j.irfa.2017.12.004

Iqbal, 2021, Asymmetric nexus between covid-19 outbreak in the world and cryptocurrency market, International Review of Financial Analysis, 73, 10.1016/j.irfa.2020.101613

Koop, 1996, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74, 119, 10.1016/0304-4076(95)01753-4

Kowalewski, 2020, Stock market response to potash mine disasters, Journal of Commodity Markets, 100124

Lanfear, 2018, Market anomalies and disaster risk: Evidence from extreme weather events, Journal of Financial Markets, 46

Li, 2020, Spatial linkage of volatility spillovers and its explanation across China’s interregional stock markets: A network approach, Applied Economics Letters, 11, 1

Li, 2021, Analysis of the Cross-Region Risk Contagion Effect in Stock Market Based on Volatility Spillover Networks: Evidence from China, The North American Journal of Economics and Finance, 56, 10.1016/j.najef.2020.101359

Lin, 2021, Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?, Research in International Business and Finance, 56, 10.1016/j.ribaf.2020.101360

Liu, 2020, The covid-19 outbreak and affected countries stock markets response, International Journal of Environmental Research and Public Health, 17, 2800, 10.3390/ijerph17082800

Liu, 2017, Features of spillover networks in international financial markets: Evidence from the G20 countries, Physica A: Statistical Mechanics & Its Applications, 479, 265, 10.1016/j.physa.2017.03.016

Maghyereh, 2016, The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes, Energy Economics, 57, 78, 10.1016/j.eneco.2016.04.010

Ma, YY, Zhuang XT. (2011). Community and robustness of the correlated networks of stock ownership structure, Systems Engineering: Theory & Practice, 31 (12), 2241-2252.

McIver, 2020, Financial crises and the dynamics of the spillovers between the US and BRICS stock markets, Research in International Business and Finance, 54, 10.1016/j.ribaf.2020.101276

Papadamou, 2020, Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis, MPRA Paper.

Peron, Thomas, Luciano D F C, Rodrigues F A.(2012). The structure and resilience of financial market networks, Chaos: An Interdisciplinary Journal of Nonlinear Science, 22(1), 013117.

Ragin, 2016, Market expectations following catastrophes: An examination of insurance broker returns, Journal of Risk & Insurance, 83, 849, 10.1111/jori.12069

Rahman, 2020, The covid-19 outbreak and stock market reactions: Evidence from Australia, Finance Research Letters, 101832

Rodriguez, 2007, Measuring financial contagion: A copula approach, Journal of Empirical Finance, 14, 401, 10.1016/j.jempfin.2006.07.002

Shehzad, 2020, COVID-19's disasters are perilous than global financial crisis: A rumor or fact?, Finance Research Letters, 36, 10.1016/j.frl.2020.101669

Shen, Ying-Ying, Zhi-Qiang Jiang, Jun-Chao Ma, Gang-Jin Wang, and Wei-Xing Zhou.(2020). “Sector connectedness in the Chinese stock markets.” arXiv preprint arXiv:2002.09097.

Silva, 2016, Network structure analysis of the Brazilian interbank market, Emerging Markets Review, 26, 136, 10.1016/j.ememar.2015.12.004

Silvennoinen, 2013, Financialization, crisis and commodity correlation dynamics, Journal of International Financial Markets, Institutions and Money, 24, 42, 10.1016/j.intfin.2012.11.007

Sun, 2021, Coronavirus (covid-19) outbreak, investor sentiment, and medical portfolio: Evidence from china, Hong Kong, Korea, Japan, and U.S, Pacific-Basin Finance Journal, 65

Wang, G. J., Xie, C., Jiang, Z.Q., & Stanley, H. E. (2016A). Who are the net senders and recipients of volatility spillovers in China’s financial markets? Finance Research Letters, 18, 255–262.

Wang, G. J., Xie, C., Jiang, Z.Q., & Stanley, H. E. (2016B). Extreme risk spillover effects in world gold markets and the global financial crisis.International Review of Economics & Finance, 46, 55-77.

Wang, Yang, & Chen. (2013). An investor's perspective on infectious diseases and their influence on market behavior.Journal of Business Economics and Management. https:doi/10.3846/16111699.2012.711360.

Wen, T., Wang, G.J., Mathur, I., & Booth, G.G. (2020). Volatility connectedness in global foreign exchange markets. Journal of Multinational Financial Management, 54, 100617.

Yi, 2018, Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?, International Review of Financial Analysis, 60, 98, 10.1016/j.irfa.2018.08.012

Zaremba, 2020, Infected markets: Novel Coronavirus, government interventions, and stock return volatility around the Globe, Finance Research Letters, 35, 10.1016/j.frl.2020.101597

Zhang, 2019, The Stability of Chinese Stock Network and Its Mechanism, Physica A: Statistical Mechanics and its Applications, 515, 748, 10.1016/j.physa.2018.09.140

Zhang, 2019, Dynamic evolution process of financial impact path under the multidimensional spatial effect based on G20 financial network, Physica A: Statistical Mechanics and its Applications, 532, 10.1016/j.physa.2019.121876

Zhang, 2019, Spatial spillover effects and risk contagion around G20 stock markets based on volatility network, The North American Journal of Economics and Finance, 51

Zhang, 2020, Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework, International Review of Financial Analysis, 71, 10.1016/j.irfa.2020.101454

Zhang, 2019, Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis, Finance Research Letters, 34

Zhang, 2020, Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network, The North American Journal of Economics and Finance, 54, 10.1016/j.najef.2020.101248