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Corbet, Shaen [Verfasser:in] ; Hou, Greg [Sonstige Person, Familie und Körperschaft]; Hu, Yang [Sonstige Person, Familie und Körperschaft]; Oxley, Les [Sonstige Person, Familie und Körperschaft]; Xu, Danyang [Sonstige Person, Familie und Körperschaft]

Pandemic-Related Financial Market Volatility Spillovers

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  • Medientyp: E-Book
  • Titel: Pandemic-Related Financial Market Volatility Spillovers : Evidence from the Chinese COVID-19 Epicentre
  • Beteiligte: Corbet, Shaen [Verfasser:in]; Hou, Greg [Sonstige Person, Familie und Körperschaft]; Hu, Yang [Sonstige Person, Familie und Körperschaft]; Oxley, Les [Sonstige Person, Familie und Körperschaft]; Xu, Danyang [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2020]
  • Umfang: 1 Online-Ressource (53 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.3618736
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 3, 2020 erstellt
  • Beschreibung: Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad number of traditional financial assets. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate the effects of influenza and coronavirus, therefore, such indices present a unique barometer of investor sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of coronavirus on Chinese financial markets compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across methodological variation
  • Zugangsstatus: Freier Zugang