IDEAS home Printed from https://ideas.repec.org/a/ris/ambsrv/0108.html
   My bibliography  Save this article

Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario

Author

Listed:
  • Zeng, Hongjun

    (RMIT University, Melbourne, Australia)

  • Ahmed, Abdullahi D.

    (RMIT University, Melbourne, Australia)

Abstract

This paper focuses on the multi-scale spillover and time-varying dependence of Chinese stock market and its important trading partners along the Belt and Road around the COVID-19 crisis. We use multiple methods - the DY (12) and BK (18) connectedness approaches that investigate dynamic and frequency connectedness; the wavelet coherence and the time-varying CoVaR to examine the connection between price lead lags and systemic risk spillovers. Our empirical results show spillovers to be asymmetric, and short-term spillovers dominating. Meanwhile, the level of spillover in the system increased sharply after the COVID-19. In the medium and long-term frequency domains, wavelet coherence reveals strong co-movement between the Chinese market and its major trading partners. We see that the highest level of systematic risk spillovers occurs at the beginning of the COVID-19 outbreak. Finally, the weighting of the Chinese stock market in the effective portfolio rises after the COVID-19 outbreak.

Suggested Citation

  • Zeng, Hongjun & Ahmed, Abdullahi D., 2024. "Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario," American Business Review, Pompea College of Business, University of New Haven, vol. 27(2), pages 372-400, November.
    • Handle: RePEc:ris:ambsrv:0108
    as

    Download full text from publisher

    File URL: https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/1/
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Belt and Road; Spillover Structure; Systemic Risk Spillover; Lead-Lag Relationship; COVID-19;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:ambsrv:0108. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Amber Montano (email available below). General contact details of provider: https://edirc.repec.org/data/cbnhaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.