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

Waqas Hanif, Walid Mensi and Xuan Vinh Vo

Finance Research Letters, 2021, vol. 40, issue C

Abstract: 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.

Keywords: COVID-19; Stock sectors; Spillovers; Copula; CoVaR (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612321000039

DOI: 10.1016/j.frl.2021.101922

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