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Research on the dynamic spillover of stock markets under COVID-19-Taking the stock markets of China, Japan, and South Korea as an example.


ABSTRACT: Examining stock market interactions between China (mainland China and Hong Kong), Japan, and South Korea, this study employs a framework that includes 239 economic variables to identify the spillover effects among these three countries, and empirically simulates the dynamic time-varying non-linear relationship between the stock markets of different countries. The findings are that in recent decades, China's stock market relied on Hong Kong's as a window to the exchange of price information with Japan and South Korea. More recently, the China stock market's spillover effect on East Asia has expanded. The spread of the crisis has strengthened co-movement between the stock markets of China, Japan, and South Korea.

SUBMITTER: Zhou B 

PROVIDER: S-EPMC9691647 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

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Research on the dynamic spillover of stock markets under COVID-19-Taking the stock markets of China, Japan, and South Korea as an example.

Zhou Baicheng B   Yin Qingshu Q   Wang Shu S   Li Tianye T  

Frontiers in public health 20221111


Examining stock market interactions between China (mainland China and Hong Kong), Japan, and South Korea, this study employs a framework that includes 239 economic variables to identify the spillover effects among these three countries, and empirically simulates the dynamic time-varying non-linear relationship between the stock markets of different countries. The findings are that in recent decades, China's stock market relied on Hong Kong's as a window to the exchange of price information with  ...[more]

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