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

Shaen Corbet · Yang Hou · Yang Hu · Les Oxley

39 citations0/0 files storedApplied Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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 utilise 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.

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1993The journal of financial economics 2010Tunneling through intercorporate loans: The China experience☆2010Government intervention and investment efficiency: Evidence from China 2007Corporate governance and earnings management in the Chinese listed companies: A tunneling perspective 2020The effect of COVID‐19 lockdowns on political support: Some good news for democracy?2019Retail investor attention and stock price crash risk: Evidence from China 2019Entrusted loans: A close look at China's shadow banking system

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