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Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Author

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  • Ahmed Ghorbel
  • Mohamed Fakhfekh
  • Ahmed Jeribi
  • Amine Lahiani

Abstract

Purpose - The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic. Design/methodology/approach - By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic. Findings - The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs. Originality/value - The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Suggested Citation

  • Ahmed Ghorbel & Mohamed Fakhfekh & Ahmed Jeribi & Amine Lahiani, 2022. "Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 23(2), pages 206-244, February.
    • Handle: RePEc:eme:jrfpps:jrf-11-2021-0179
    DOI: 10.1108/JRF-11-2021-0179
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    Citations

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    Cited by:

    1. Mirza, Nawazish & Umar, Muhammad & Mangafic, Jasmina, 2023. "Covid-19 vaccines and investment performance: Evidence from equity funds in European Union," Finance Research Letters, Elsevier, vol. 53(C).
    2. Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.

    More about this item

    Keywords

    G7 stock market indices; Risk spillover; COVID-19; ADCC-GARCH model; Kolmogorov–Smirnov test; G10; G11; G14; G15;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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