Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

【Author】 Corbet, Shaen; Hou, Yang (Greg); Hu, Yang; Oxley, Les; Xu, Danyang

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】Utilising Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation.

【Keywords】COVID-19; Coronavirus; China; Volatility spillovers; Bitcoin; Flight-to-Safety

【发表时间】2021 JAN

【收录时间】2022-01-02

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