Hanif Waqas, Mensi Walid, Vo Xuan Vinh
Department of Management Sciences, COMSATS University Islamabad, Attock Campus, Pakistan.
Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman.
Financ Res Lett. 2021 May;40:101922. doi: 10.1016/j.frl.2021.101922. Epub 2021 Jan 5.
This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. We use Copula and Conditional Value at Risk approaches. The results show evidence of asymmetric tail dependence during the COVID-19 outbreak with the exception of the Utilities sector, where a symmetric tail dependence is found. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. The risk spillover is higher from the US to China before COVID-19 and from China to the US during COVD-19 spread, which is significantly intensified between March 2020 and April 2020.
本文考察了新冠疫情爆发对美国和中国十个股票板块之间溢出效应的影响。我们使用了Copula和条件风险价值方法。结果表明，除公用事业板块发现对称尾部相依性外，在新冠疫情爆发期间存在不对称尾部相依性的证据。此外，我们发现了从美国到中国以及从中国到美国的时变双向不对称风险溢出效应。在新冠疫情之前，从美国到中国的风险溢出更高，而在疫情传播期间，从中国到美国的风险溢出更高，在2020年3月至2020年4月期间显著增强。
