The time-varying spillover effect of China's stock market during the COVID-19 pandemic

• Main Authors: Chen, Z. (Author), Liu, X. (Author), Yao, Y. (Author)
• Format: Article
• Language: English
• Published: Elsevier B.V. 2022
• Subjects: China's Stock Markets; Commerce; Comovement; Co-movement; Complex networks; Coronavirus; Coronaviruses; COVID-19; Disease control; Financial markets; Financial networks; GARCH-BEKK model; Industry datum; Investments; Spillover effect; Spillover effects; Time varying; Volatility spillovers; World economy
• Online Access: View Fulltext in Publisher
• ISBN: 03784371 (ISSN)
• DOI: 10.1016/j.physa.2022.127821

The rapid spread of coronavirus (COVID-19) has a significant impact on the world economy, especially on the financial market. Investors are panicking about the future. This paper considers industry data and aims to investigate the impact of the pandemic on China's stock market. The Asymmetric-GARCH-BEKK model and complex network theory were combined to construct the interaction networks. From the perspective of spillover effect, we investigated the time varying co-movement during the pandemic. The results indicate that the outbreak of COVID-19 weakens the mean spillover, but enhances the volatility spillover among China's stock market. However, both mean spillover and volatility spillover decreased rapidly during the period of regular epidemic prevention and control. We also found that different industries have various sensitivity to the COVID-19 pandemic. © 2022 Elsevier B.V.