Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Ahmed Ghorbel, Mohamed Fakhfekh, Ahmed Jeribi and Amine Lahiani

Journal of Risk Finance, 2022, vol. 23, issue 2, 206-244

Abstract: Purpose - The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic. Design/methodology/approach - By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic. Findings - The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs. Originality/value - The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Keywords: G7 stock market indices; Risk spillover; COVID-19; ADCC-GARCH model; Kolmogorov–Smirnov test; G10; G11; G14; G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:jrf-11-2021-0179

DOI: 10.1108/JRF-11-2021-0179

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