Work

Research on the dynamic spillover of stock markets under COVID-19—Taking the stock markets of China, Japan, and South Korea as an example

Year: 2022

Type: article

Abstract: Examining stock market interactions between China (mainland China and Hong Kong), Japan, and South Korea, this study employs a framework that includes 239 economic variables to identify the spillover effects among these three countries, and empirically simulates the dynamic time-varying non-linear relationship between the stock markets of different countries. The findings are that in recent decades, China's stock market relied on Hong Kong's as a window to the exchange of price information with Japan and South Korea. More recently, the China stock market's spillover effect on East Asia has expanded. The spread of the crisis has strengthened co-movement between the stock markets of China, Japan, and South Korea.

Source: Frontiers in Public Health

DOI: 10.3389/fpubh.2022.1008348

Authors: Baicheng Zhou, Qingshu Yin, Shu Wang, Tianye Li

Institutions: Jilin University, Changchun Guanghua University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,950

Funder: National Natural Science Foundation of China