Vuong Giang Thi Huong, Nguyen Manh Huu, Huynh Anh Ngoc Quang
Faculty of Finance, Banking University of Ho Chi Minh, Ho Chi Minh City, 70000, Viet Nam.
Department of Accounting and Finance, Nha Trang University, Nha Trang City, Khanh Hoa province, 57000, Viet Nam.
J Econ Asymmetries. 2022 Nov;26:e00276. doi: 10.1016/j.jeca.2022.e00276. Epub 2022 Oct 14.
The COVID-19 pandemic, which originated in Wuhan, China, precipitated the stock market crash of March 2020. According to published global data, the U.S. has been most affected by the tragedy throughout this outbreak. Understanding the degree of integration between the financial systems of the world's two largest economies, particularly during the COVID-19 pandemic, necessitates thorough research of the risk transmission from China's stock market to the U.S. stock market. This study examines the volatility transmission from the Chinese to the U.S. stock market from January 2001 to October 2020. We employ a variant form of the EGARCH (1,1) model with long-term control over the excessive volatility breakpoints identified by the ICSS algorithm. Since 2004, empirical evidence indicates that the volatility shocks of the Chinese stock market have frequently and negatively affected the volatility of the U.S. stock market. Most importantly, we explore that the COVID-19 pandemic vigorously and positively promoted the volatility infection from the Chinese equity market to the U.S. equity market in March 2020. This precious evidence endorses the asymmetric volatility transmission from the Chinese to the U.S. stock market when COVID-19 broke out. These experimental results provide profound insight into the risk contagion between the U.S. and China stock markets. They are also essential for securities investors to minimize portfolio risk. Furthermore, this paper suggests that globalization has carefully driven the integration of China's stock market with the international equity markets.
起源于中国武汉的新冠疫情引发了2020年3月的股市暴跌。根据已公布的全球数据,在此次疫情爆发期间,美国受影响最为严重。要了解世界两大经济体金融体系之间的整合程度,尤其是在新冠疫情期间,就需要深入研究中国股市向美国股市的风险传导。本研究考察了2001年1月至2020年10月期间中国股市向美国股市的波动传导。我们采用了一种改进形式的EGARCH(1,1)模型,对ICSS算法识别出的过度波动断点进行长期控制。自2004年以来,实证证据表明,中国股市的波动冲击频繁且对美国股市的波动产生负面影响。最重要的是,我们发现新冠疫情在2020年3月有力且正向地推动了中国股票市场向美国股票市场的波动传染。这一宝贵证据证实了新冠疫情爆发时中国股市向美国股市的不对称波动传导。这些实验结果为美中股市之间的风险传染提供了深刻见解。它们对于证券投资者将投资组合风险降至最低也至关重要。此外,本文表明全球化审慎地推动了中国股票市场与国际股票市场的整合。