Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19

Sarika Lohana (), Miklesh Prasad Yadav and A. G. Rekha
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Sarika Lohana: G Institutions and Consultancy, Mumbai, Maharashtra, India
Miklesh Prasad Yadav: Indian Institute of Foreign Trade, Kakinada, Andhra Pradesh, India
A. G. Rekha: State Bank of India, Trivandrum, Kerala, India

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2024, vol. 27, issue 02, 1-19

Abstract: We analyze the volatility spillover effect from the Chinese stock market to different stock markets in the G20 countries. We employ dynamic conditional correlation and vector autoregression (VAR) to analyze adjusted daily closing stock indices extending from 1st October 2019 to 30th June 2020. The result reveals that there is short-run volatility in sample stock return except Australia and South Korea. Similarly, there is long-term volatility persistence in sample countries’ stock exchange except Australia, Saudi Arabia, Russia, and France. However, Australia is only the country where there is no short- and long-run information transmission derived from China. Therefore, there is a portfolio diversification opportunity in this country during COVID-19. Overall, this paper shows significant interdependencies between the Chinese and the G20 markets which furnish momentous implications to the stakeholders of markets.

Keywords: COVID-19 pandemic; DCC-MGARCH-VAR; Straits Times Index; G-20 stock market; financial contagion; spillover (search for similar items in EconPapers)
JEL-codes: G01 G11 G14 G15 G18 G41 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0219091524500115

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