Financial contagion among COVID-19 concept-related stocks in China

Shaen Corbet, Yang (Greg) Hou, Yang Hu and Les Oxley

Applied Economics, 2022, vol. 54, issue 21, 2439-2452

Abstract: This paper investigates, for the first time, the presence of financial contagion among several important Chinese coronavirus concept-based stock indices during the recent COVID-19 global pandemic. We utilize a regime-switching skew-normal (RSSN) methodology to test for contagion through the correlation and coskewness channels while considering structural breaks in the different moments. Our results present evidence of contagion effects, which are robust across identified crisis and non-crisis periods, including that of the Wuhan lockdown. Our empirical results offer investors and policy-makers an additional layer of information when evaluating response mechanisms to major crises through the use of concept-based indices.

Date: 2022
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DOI: 10.1080/00036846.2021.1990844

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