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COVID-19 and risk spillovers of China?s major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis

文献类型：期刊论文

作者Xie, Qiwei2; Cheng, Lu2; Liu, Ranran2; Zheng, Xiaolong1; Li, Jingyu2
刊名FINANCE RESEARCH LETTERS
出版日期2023-03-01
卷号52页码:9
ISSN号1544-6123
关键词COVID-19 Risk spillovers Generalized forecast error variance decompositions Wavelet coherence analysis China?s financial markets
DOI10.1016/j.frl.2022.103545
通讯作者Li, Jingyu(lijy@bjut.edu.cn)
英文摘要COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector autoregression and generalized forecast error variance decompositions. Stock, fund, and futures markets are identified as major risk senders, whereas other markets are identified as major risk receivers. Surprisingly, bonds, gold, and shipping are safe havens that facilitate portfolio opti-mization. Furthermore, using wavelet coherence analysis, we find that the coherence between dynamic total spillover and COVID-19 varies across time and frequency domains.
WOS关键词STOCK
资助项目National Natural Science Foundation of China[72201012] ; Stata Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences, China Postdoctoral Science Foundation ; Beijing Postdoctoral Research Foundation[2021-zz-168] ; Beijing Natural Science Foundation[9202002] ; Open research fund in 2020, Stata Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences,China Postdoctoral Science Foundation[2020M680281]
WOS研究方向Business & Economics
语种英语
出版者ACADEMIC PRESS INC ELSEVIER SCIENCE
WOS记录号WOS:000908290500004
资助机构National Natural Science Foundation of China ; Stata Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences, China Postdoctoral Science Foundation ; Beijing Postdoctoral Research Foundation ; Beijing Natural Science Foundation ; Open research fund in 2020, Stata Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences,China Postdoctoral Science Foundation
源URL[http://ir.ia.ac.cn/handle/173211/51135]  
专题舆论大数据科学与技术应用联合实验室
通讯作者Li, Jingyu
作者单位1.Chinese Acad Sci, Inst Automat, Beijing 100000, Peoples R China
2.Beijing Univ Technol, Sch Econ & Management, 100 Pingleyuan, Beijing 100124, Peoples R China
推荐引用方式
GB/T 7714		 Xie, Qiwei,Cheng, Lu,Liu, Ranran,et al. COVID-19 and risk spillovers of China?s major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis[J]. FINANCE RESEARCH LETTERS,2023,52:9.
APA Xie, Qiwei,Cheng, Lu,Liu, Ranran,Zheng, Xiaolong,&Li, Jingyu.(2023).COVID-19 and risk spillovers of China?s major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis.FINANCE RESEARCH LETTERS,52,9.
MLA Xie, Qiwei,et al."COVID-19 and risk spillovers of China?s major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis".FINANCE RESEARCH LETTERS 52(2023):9.

入库方式： OAI收割

来源：自动化研究所

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