ArticleEconomic analysis and policy2021
Contagion and portfolio management in times of COVID-19.
Article in Economic analysis and policy, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 2 papers.
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Who cites it
2 citing papers in PubMed, 33 citations in OpenAlex.
- Do commodities offer diversification benefits during the COVID-19 pandemic crisis? Evidence from dynamic spillover approach.Heliyon · 2024Article
- Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality.Financial innovation · 2023Article
Corrections and comments
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Authors and funding
2 authors at 2 institutions in 1 country.
Funding
No grant is acknowledged in the PubMed record.
Abstract
This paper aims to investigate the COVID-19 pandemic impacts on the interconnectedness between the Chinese stock market and major financial and commodity markets-gold, silver, Bitcoin, WTI, S&P 500, and Euro STOXX 50-and analyze the portfolio design implications. Using daily data from 2018 to 2021, we first apply the wavelet power spectrum (WPS) to visualize volatility shifts. In contrast to previous research, we empirically identify the precise COVID-19 outbreak dates for each market using the Perron (1997) breakpoint test. Finally, we employ the bivariate DCC-GARCH model to analyze the connectedness between markets. The findings reveal that the COVID-19 pandemic caused volatility shifts of different intensities for all of the studied markets. Moreover, each return series exhibits one break date, which is specific to each market and corresponds to a distinct COVID-19-related event. Correlations, hedge ratios, and optimal portfolio weights changed significantly after the COVID-19 outbreak. There is evidence of contagion effects between the Chinese stock market and S&P 500, Euro STOXX 50, gold, and silver. Interestingly, the latter two assets lost their safe haven property with SSE. However, WTI and Bitcoin act as safe havens against SSE risks.
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