新冠疫情期间中国股票市场的时变溢出效应
The time-varying spillover effect of China's stock market during the COVID-19 pandemic.
作者信息
Liu Xueyong, Chen Zhihua, Chen Zhensong, Yao Yinhong
机构信息
School of Management and Engineering, Capital University of Economics and Business, Beijing 100070, China.
Belt and Road School, Beijing Normal University, Zhuhai 519087, China.
出版信息
Physica A. 2022 Oct 1;603:127821. doi: 10.1016/j.physa.2022.127821. Epub 2022 Jun 25.
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.
新型冠状病毒（COVID-19）的迅速传播对世界经济产生了重大影响，尤其是对金融市场。投资者对未来感到恐慌。本文考虑行业数据，旨在研究疫情对中国股票市场的影响。将非对称广义自回归条件异方差-布伦纳、恩格尔、 Kraft和Kroner模型（Asymmetric-GARCH-BEKK模型）与复杂网络理论相结合来构建互动网络。从溢出效应的角度，我们研究了疫情期间的时变共同运动。结果表明，COVID-19疫情的爆发削弱了均值溢出，但增强了中国股票市场之间的波动溢出。然而，在常态化疫情防控期间，均值溢出和波动溢出均迅速下降。我们还发现，不同行业对COVID-19疫情有不同的敏感性。
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