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Vo DH. Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia. PLoS One 2023; 18:e0286528. [PMID: 37262027 DOI: 10.1371/journal.pone.0286528] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 02/08/2023] [Accepted: 05/17/2023] [Indexed: 06/03/2023] Open
Abstract
While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature. This paper estimates the sectoral volatility using the ARMA-GARCH model and its spillover across Australian sectors on the VAR framework during the 2010-2021 period. We then identify breakpoints in market volatility during the Covid-19 pandemic using a wavelet methodology. We find that volatility spillover across Australian sectors is very significant at 60 per cent from 2010 to 2019, reaching 90 per cent during the Covid-19 pandemic in 2020. The spillover then reverts to its pre-pandemic level in 2021. Consumer Staples and Industrials are the significant risk transmitters, whereas Financials and Real estates are the most significant risk absorbers. Our findings also indicate that Real Estate, Health Care, and Financials record the most significant increase in volatility of more than 300 per cent. Policy implications regarding risk management across Australian sectors have emerged, particularly during extreme events such as the pandemic.
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Affiliation(s)
- Duc Hong Vo
- Research Centre in Business, Economics & Resources, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam
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Ding H, Pu B, Ying J. Direct and spillover portfolio effects of COVID-19. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 2023; 65:101932. [PMID: 36987439 PMCID: PMC10030264 DOI: 10.1016/j.ribaf.2023.101932] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 02/08/2022] [Revised: 03/08/2023] [Accepted: 03/17/2023] [Indexed: 05/29/2023]
Abstract
This paper investigates the direct and spillover portfolio effects from the global outbreak of COVID-19. We find that an increase of the newly added cases of one specific country causes investors to significantly decrease their portfolio allocations in the outbreak countries (direct effect). Simultaneously, investors also decrease their allocations to other countries (spillover effect). In addition, we provide evidence and documentation that the transmission mechanism underlying foreign exposures matter to the above-mentioned portfolio effect. Moreover, we provide evidence for phase heterogeneity. The first wave of the COVID-19 pandemic has significant direct and spillover portfolio effects, but the impacts are weakened in second wave of the pandemic. The capital reallocation effect occurs only when the disease becomes global. Finally, our heterogeneities analysis shows that both local and spillover effects are mitigated when the economies are more developed and democratic and when the country has better health care facilities.
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Affiliation(s)
- Haoyuan Ding
- Fudan University, Institute of World Economy, No. 220 Handan Road, Shanghai, China
- Shanghai University of Finance and Economics, College of Business, No.100 Wudong Road, Shanghai, China
| | - Bo Pu
- Shanghai University of Finance and Economics, College of Business, No.100 Wudong Road, Shanghai, China
| | - Jiezhou Ying
- Zhejiang Gongshang University, School of Finance, No.18 Xuezheng Street, Hangzhou, China
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Aloui R, Ben Jabeur S, Mefteh-Wali S. Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 2022; 62:101709. [PMID: 35822062 PMCID: PMC9264816 DOI: 10.1016/j.ribaf.2022.101709] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 12/21/2021] [Revised: 05/09/2022] [Accepted: 06/24/2022] [Indexed: 06/15/2023]
Abstract
This study uses a combination of copulas and CoVaR to investigate risk spillovers from China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock and equity sectors for the period from January 1, 2013 to June 9, 2021, the main empirical results show that, before the COVID-19 pandemic, stock markets were positively related and systemic risk was comparable for all countries. However, during the COVID-19 outbreak, the level of dependence increased for all G7 countries and the upside-downside risk spillovers become on average higher for all stock markets, with the exception of Japan. Our results also provide evidence of higher market risk exposure to information from China for the technology and energy sectors. Moreover, we find an asymmetric risk spillover from China to the G7 stock markets, with higher intensity in downside risk spillovers before and during COVID-19 spread.
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Affiliation(s)
- Riadh Aloui
- LAREQUAD, Tunis Business School, University of Tunis, El Mourouj, 2074 Ben Arous, Tunisia
| | - Sami Ben Jabeur
- Institute of Sustainable Business and Organizations, Confluence: Sciences et Humanités - UCLY, ESDES, 10, place des archives, 69002, Lyon, France
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Liu W, Gui Y, Qiao G. Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 2022; 61:101669. [PMID: 35506059 PMCID: PMC9047555 DOI: 10.1016/j.ribaf.2022.101669] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/09/2021] [Revised: 01/28/2022] [Accepted: 04/23/2022] [Indexed: 05/06/2023]
Abstract
This paper introduces thermal optimal path method to investigate the dynamics lead-lag relationship of jumps among Chinese stock index and futures market under the background of the Covid-19 epidemic. Based on three representative stock indexes and their index futures in China, we find the lead-lag structure changes significantly before and after the outbreak of COVID-19. Before the epidemic, there is mutual effect between different markets jumps. However, CSI 300 futures and SSE 50 futures significantly lead other markets for the after-epidemic period. For the volatility forecasting based on cross-market jumps, the lagged jumps of CSI 300 and SSE 50 index futures have significantly impacts on the volatility forecast of other markets.
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Affiliation(s)
- Wenwen Liu
- School of Economics, Xihua University, Chengdu, Sichuan 610039, PR China
| | - Yiming Gui
- School of Economics, Xihua University, Chengdu, Sichuan 610039, PR China
| | - Gaoxiu Qiao
- School of Mathematics, Southwest Jiaotong University, Chengdu, Sichuan 611756, PR China
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Azimli A. Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. RESOURCES POLICY 2022; 77:102679. [PMID: 35340262 PMCID: PMC8935323 DOI: 10.1016/j.resourpol.2022.102679] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/04/2021] [Revised: 12/21/2021] [Accepted: 03/16/2022] [Indexed: 05/03/2023]
Abstract
This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period. Gold loses its hedge status during the post-COVID period while silver is a strong safe-haven against international equity markets at the upper-tail of conditional return distribution of silver. Further, iron pose weak safe-haven properties against international equity markets when iron returns are extremely positive. However, neither conventional nor green energy stocks act as safe-haven against international equity markets. Current results may provide guidance for risk management, portfolio management and policy decisions during the post-COVID-19 period.
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Affiliation(s)
- Asil Azimli
- Department of Accounting and Finance, Cyprus International University, Haspolat, T.R. North Cyprus, Via Mersin 10, Turkey
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Tan X, Wang X, Ma S, Wang Z, Zhao Y, Xiang L. COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach. Front Public Health 2022; 10:906969. [PMID: 35968447 PMCID: PMC9363613 DOI: 10.3389/fpubh.2022.906969] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 03/29/2022] [Accepted: 04/19/2022] [Indexed: 11/30/2022] Open
Abstract
The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new volatility risk contagion. In this paper, we introduce the DCC-GARCH-CONNECTEDNESS approach to explore the volatility spillover level and multi-level spillover structure characteristics among the commodity markets before and during the COVID-19 epidemic in order to clarify the new volatility risk contagion patterns across the markets. The results implied several conclusions. (i) The COVID-19 epidemic has significantly improved the total volatility spillover level of the energy and precious metals markets and has enhanced the risk connectivity among the markets. (ii) The COVID-19 epidemic has amplified the volatility of the crude oil market, making it the main volatility spillover market, namely the source of volatility risk contagion. (iii) The COVID-19 epidemic outbreak enhanced the external risk absorption capacity of the natural gas and silver markets, and the absorption level of the external volatility spillover improved significantly. Furthermore, the risk absorption capacity of the gold market weakened, while the gold market has remained the endpoint of external volatility risk during the epidemic and has acted as a risk stabilizer. (iv) The volatility spillover among markets has clear time-varying characteristics and a positive connectedness with the severity of the COVID-19 epidemic. As the severity of the COVID-19 epidemic increases, the volatility risk connectivity among the markets rapidly increases.
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Affiliation(s)
- Xiaoyu Tan
- School of Finance, Zhongnan University of Economics and Law, Wuhan, China
| | - Xuetong Wang
- School of Finance, Shandong University of Finance and Economics, Jinan, China
| | - Shiqun Ma
- School of Finance, Shandong University of Finance and Economics, Jinan, China
| | - Zhimeng Wang
- School of Finance, Shandong University of Finance and Economics, Jinan, China
| | - Yang Zhao
- School of Finance, Shandong University of Finance and Economics, Jinan, China
| | - Lijin Xiang
- School of Finance, Shandong University of Finance and Economics, Jinan, China
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Mensi W, Rehman MU, Vo XV. Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2022; 81:102125. [PMID: 36531212 PMCID: PMC8972978 DOI: 10.1016/j.irfa.2022.102125] [Citation(s) in RCA: 4] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Received: 11/27/2020] [Revised: 02/21/2022] [Accepted: 03/29/2022] [Indexed: 05/09/2023]
Abstract
We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantiles.
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Affiliation(s)
- Walid Mensi
- Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman
- Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam
| | - Mobeen Ur Rehman
- Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam
- South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation
| | - Xuan Vinh Vo
- Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam
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