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Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre
| Content Provider | Scilit |
|---|---|
| Author | Corbet, Shaen Hou, Yang (Greg) Hu, Yang Oxley, Les Xu, Danyang |
| Copyright Year | 2020 |
| Description | Journal: International Review of Economics & Finance Utilising Chinese-developed data based on long-standing influenza indices, and the more recently-developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation. |
| Related Links | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7467126/pdf |
| Ending Page | 81 |
| Page Count | 27 |
| Starting Page | 55 |
| ISSN | 10590560 |
| DOI | 10.1016/j.iref.2020.06.022 |
| Journal | International Review of Economics & Finance |
| Volume Number | 71 |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2020-09-02 |
| Access Restriction | Open |
| Subject Keyword | Journal: International Review of Economics & Finance Business and Management Volatility Spillovers |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Economics and Econometrics |
