Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?
Gespeichert in:
| Autor*in: |
Derbali, Abdelkader [verfasserIn] Naoui, Kamel [verfasserIn] Ben Sassi, Mounir [verfasserIn] Amiri, Mohamed Marouen [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2022 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: The Chinese economy - Abingdon, Oxon : Routledge, Taylor & Francis, 1997, 55(2022), 3, Seite 227-242 |
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| Übergeordnetes Werk: |
volume:55 ; year:2022 ; number:3 ; pages:227-242 |
| Links: |
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| DOI / URN: |
10.1080/10971475.2021.1958453 |
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| Katalog-ID: |
1805717707 |
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| 982 | |2 26 |1 00 |x DE-206 |b This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. | ||
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10.1080/10971475.2021.1958453 doi (DE-627)1805717707 (DE-599)KXP1805717707 DE-627 ger DE-627 rda eng Derbali, Abdelkader verfasserin aut Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 Naoui, Kamel verfasserin aut Ben Sassi, Mounir verfasserin (DE-588)1262428424 (DE-627)1810116155 aut Amiri, Mohamed Marouen verfasserin (DE-588)115561478X (DE-627)1017885036 (DE-576)501776672 aut Enthalten in The Chinese economy Abingdon, Oxon : Routledge, Taylor & Francis, 1997 55(2022), 3, Seite 227-242 Online-Ressource (DE-627)35716671X (DE-600)2093995-4 (DE-576)273899643 1558-0954 nnns volume:55 year:2022 number:3 pages:227-242 https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://doi.org/10.1080/10971475.2021.1958453 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_152 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 55 2022 3 227-242 26 01 0206 4142346490 x1z 02-06-22 2403 01 DE-LFER 4186040575 00 --%%-- --%%-- n --%%-- l01 08-09-22 2403 01 DE-LFER https://doi.org/10.1080/10971475.2021.1958453 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true 26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. |
| spelling |
10.1080/10971475.2021.1958453 doi (DE-627)1805717707 (DE-599)KXP1805717707 DE-627 ger DE-627 rda eng Derbali, Abdelkader verfasserin aut Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 Naoui, Kamel verfasserin aut Ben Sassi, Mounir verfasserin (DE-588)1262428424 (DE-627)1810116155 aut Amiri, Mohamed Marouen verfasserin (DE-588)115561478X (DE-627)1017885036 (DE-576)501776672 aut Enthalten in The Chinese economy Abingdon, Oxon : Routledge, Taylor & Francis, 1997 55(2022), 3, Seite 227-242 Online-Ressource (DE-627)35716671X (DE-600)2093995-4 (DE-576)273899643 1558-0954 nnns volume:55 year:2022 number:3 pages:227-242 https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://doi.org/10.1080/10971475.2021.1958453 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_152 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 55 2022 3 227-242 26 01 0206 4142346490 x1z 02-06-22 2403 01 DE-LFER 4186040575 00 --%%-- --%%-- n --%%-- l01 08-09-22 2403 01 DE-LFER https://doi.org/10.1080/10971475.2021.1958453 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true 26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. |
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10.1080/10971475.2021.1958453 doi (DE-627)1805717707 (DE-599)KXP1805717707 DE-627 ger DE-627 rda eng Derbali, Abdelkader verfasserin aut Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 Naoui, Kamel verfasserin aut Ben Sassi, Mounir verfasserin (DE-588)1262428424 (DE-627)1810116155 aut Amiri, Mohamed Marouen verfasserin (DE-588)115561478X (DE-627)1017885036 (DE-576)501776672 aut Enthalten in The Chinese economy Abingdon, Oxon : Routledge, Taylor & Francis, 1997 55(2022), 3, Seite 227-242 Online-Ressource (DE-627)35716671X (DE-600)2093995-4 (DE-576)273899643 1558-0954 nnns volume:55 year:2022 number:3 pages:227-242 https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://doi.org/10.1080/10971475.2021.1958453 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_152 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 55 2022 3 227-242 26 01 0206 4142346490 x1z 02-06-22 2403 01 DE-LFER 4186040575 00 --%%-- --%%-- n --%%-- l01 08-09-22 2403 01 DE-LFER https://doi.org/10.1080/10971475.2021.1958453 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true 26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. |
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10.1080/10971475.2021.1958453 doi (DE-627)1805717707 (DE-599)KXP1805717707 DE-627 ger DE-627 rda eng Derbali, Abdelkader verfasserin aut Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 Naoui, Kamel verfasserin aut Ben Sassi, Mounir verfasserin (DE-588)1262428424 (DE-627)1810116155 aut Amiri, Mohamed Marouen verfasserin (DE-588)115561478X (DE-627)1017885036 (DE-576)501776672 aut Enthalten in The Chinese economy Abingdon, Oxon : Routledge, Taylor & Francis, 1997 55(2022), 3, Seite 227-242 Online-Ressource (DE-627)35716671X (DE-600)2093995-4 (DE-576)273899643 1558-0954 nnns volume:55 year:2022 number:3 pages:227-242 https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://doi.org/10.1080/10971475.2021.1958453 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_152 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 55 2022 3 227-242 26 01 0206 4142346490 x1z 02-06-22 2403 01 DE-LFER 4186040575 00 --%%-- --%%-- n --%%-- l01 08-09-22 2403 01 DE-LFER https://doi.org/10.1080/10971475.2021.1958453 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true 26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. |
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10.1080/10971475.2021.1958453 doi (DE-627)1805717707 (DE-599)KXP1805717707 DE-627 ger DE-627 rda eng Derbali, Abdelkader verfasserin aut Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 Naoui, Kamel verfasserin aut Ben Sassi, Mounir verfasserin (DE-588)1262428424 (DE-627)1810116155 aut Amiri, Mohamed Marouen verfasserin (DE-588)115561478X (DE-627)1017885036 (DE-576)501776672 aut Enthalten in The Chinese economy Abingdon, Oxon : Routledge, Taylor & Francis, 1997 55(2022), 3, Seite 227-242 Online-Ressource (DE-627)35716671X (DE-600)2093995-4 (DE-576)273899643 1558-0954 nnns volume:55 year:2022 number:3 pages:227-242 https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true Verlag lizenzpflichtig https://doi.org/10.1080/10971475.2021.1958453 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_152 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 55 2022 3 227-242 26 01 0206 4142346490 x1z 02-06-22 2403 01 DE-LFER 4186040575 00 --%%-- --%%-- n --%%-- l01 08-09-22 2403 01 DE-LFER https://doi.org/10.1080/10971475.2021.1958453 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true 26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions. |
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In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions.</subfield></datafield></record></collection>
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26 00 DE-206 This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Abdelkader Derbali, Kamel Naoui, Mounir Ben Sassi and Mohamed Marouen Amiri COVID-19 (dpeaa)DE-206 dynamic conditional correlation (dpeaa)DE-206 returns (dpeaa)DE-206 spillover (dpeaa)DE-206 stock market indices (dpeaa)DE-206 volatilities (dpeaa)DE-206 |
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| title_short |
Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? |
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https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true https://www.tandfonline.com/doi/epub/10.1080/10971475.2021.1958453?needAccess=true https://doi.org/10.1080/10971475.2021.1958453 |
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In this paper, we try to investigate the spillover impacts of China's stock market on the selected stock markets using an econometric methodology based on DCC-GARCH models during the period from May 01, 2019 to May 30, 2020. Our results show a strong significant DCC among China's stock market index and selected international stock market indices especially in the outbreak of COVID-19. We find that the results related to the degree of the persistence of volatility, are sensitive to the existence of the COVID-19 surprises into the DCC-GARCH (1) model. We remark that that COVID-19 has a short-term impact on international stock market indices volatilities. Finally, we can conclude that COVID-19 explain the spillover impacts of China's stock market index on selected countries using DCC-GARCH models. This paper gives an important framework to the investors to choose their portfolios in the financial markets especially in the crisis period. This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between China's stock market index and selected international stock market in Asia, Europe, and North America regions.</subfield></datafield></record></collection>
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