Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period
ISSN: 1526-5943
Article publication date: 7 February 2022
Issue publication date: 2 March 2022
Abstract
Purpose
The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.
Design/methodology/approach
By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic.
Findings
The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs.
Originality/value
The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.
Keywords
Acknowledgements
This paper forms part of a special section “Technological disruption, Innovation and Global wellbeing”, guest edited by Faten Ben Bouheni and Duc Khuong Nguyen.
Citation
Ghorbel, A., Fakhfekh, M., Jeribi, A. and Lahiani, A. (2022), "Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period", Journal of Risk Finance, Vol. 23 No. 2, pp. 206-244. https://doi.org/10.1108/JRF-11-2021-0179
Publisher
:Emerald Publishing Limited
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