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Financial stress spillover network across Asian countries in the context of COVID-19

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  • Xiafei Li
  • Chao Liang
  • Feng Ma

Abstract

Using the dynamic connectedness framework of Antonakakis et al. (2020), this paper explores the financial stress spillover characteristic across nine Asian countries during major economic, political and public health emergency events, especially during COVID-19. We first find a substantial increase in the intensity of total financial stress spillover across nine Asian countries during COVID-19. Second, there are clear differences in the financial stress spillover networks across Asian countries during different economic and political events. In particular, in the first three months after the outbreak of COVID-19, there was considerable month-to-month variation in the financial stress spillover network. Singapore and Japan are the major net transmitter and receiver of financial stress shocks, respectively, during all considered events. During COVID-19, China, as the first country to detect and contain COVID-19, is the strongest net financial stress shock receiver in March 2020, but transmitted net financial stress shocks in February 2020, when the epidemic in China is serious.

Suggested Citation

  • Xiafei Li & Chao Liang & Feng Ma, 2023. "Financial stress spillover network across Asian countries in the context of COVID-19," Applied Economics Letters, Taylor & Francis Journals, vol. 30(7), pages 965-974, April.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:7:p:965-974
    DOI: 10.1080/13504851.2022.2030852
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    Cited by:

    1. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    2. Armah, Mohammed & Amewu, Godfred, 2024. "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).

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