 COVID-19′s impact on the spillover effect across the Chinese and U.S. stock marketsYongmin Zhang and Jiaying Mao Finance Research Letters, 2022, vol. 47, issue PB Abstract: This paper investigates the cross-market spillover effect between the Chinese and U.S. stock index returns, and the markets’ volatility from the impact of COVID-19′s spread in China. The results reveal that there was an asymmetric transmission of return shocks to a stronger degree from the Chinese stock market to the U.S. market rather than from the opposite direction, and this asymmetric spillover effect during the COVID-19 spread period in China was three to five times stronger than during the pre-COVID-19 period and the period when COVID-19 was contained in China. Furthermore, we find the risk correlation between the two markets are highest during the COVID-19 spread period in China, and RMB/US exchange rate and gold are two macro spillover channels. The study has important implications for regulators’ supervision of financial markets during a global crisis, and for investors’ cross-market hedging of spillover risks from a systematic shock. Keywords: COVID-19; Cross-market spillover effect; Chinese and U.S. stock indexes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000137 DOI: 10.1016/j.frl.2022.102684 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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