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Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19

Author

Listed:
  • Sarika Lohana

    (G Institutions and Consultancy, Mumbai, Maharashtra, India)

  • Miklesh Prasad Yadav

    (Indian Institute of Foreign Trade, Kakinada, Andhra Pradesh, India)

  • A. G. Rekha

    (State Bank of India, Trivandrum, Kerala, India)

Abstract

We analyze the volatility spillover effect from the Chinese stock market to different stock markets in the G20 countries. We employ dynamic conditional correlation and vector autoregression (VAR) to analyze adjusted daily closing stock indices extending from 1st October 2019 to 30th June 2020. The result reveals that there is short-run volatility in sample stock return except Australia and South Korea. Similarly, there is long-term volatility persistence in sample countries’ stock exchange except Australia, Saudi Arabia, Russia, and France. However, Australia is only the country where there is no short- and long-run information transmission derived from China. Therefore, there is a portfolio diversification opportunity in this country during COVID-19. Overall, this paper shows significant interdependencies between the Chinese and the G20 markets which furnish momentous implications to the stakeholders of markets.

Suggested Citation

  • Sarika Lohana & Miklesh Prasad Yadav & A. G. Rekha, 2024. "Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 27(02), pages 1-19, June.
    • Handle: RePEc:wsi:rpbfmp:v:27:y:2024:i:02:n:s0219091524500115
    DOI: 10.1142/S0219091524500115
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    More about this item

    Keywords

    COVID-19 pandemic; DCC-MGARCH-VAR; Straits Times Index; G-20 stock market; financial contagion; spillover;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • 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
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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