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

doi:10.1016/j.frl.2022.103545

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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
	Xie, Qiwei 2; Cheng, Lu 2; Liu, Ranran 2; Zheng, Xiaolong 1; Li, Jingyu 2
刊名	FINANCE RESEARCH LETTERS
	2023-03-01
卷号	52 页码:9
关键词	COVID-19 Risk spillovers Generalized forecast error variance decompositions Wavelet coherence analysis China?s financial markets
ISSN号	1544-6123
DOI	10.1016/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.
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关键词	STOCK
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
内容类型	期刊论文
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.