ArticleFinance research letters2023
COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis.
Article in Finance research letters, 2023. 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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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
2 citing papers in PubMed.
- Article
- Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach.Foods (Basel, Switzerland) · 2024Article
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Authors and funding
5 authors.
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Abstract
COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector autoregression and generalized forecast error variance decompositions. Stock, fund, and futures markets are identified as major risk senders, whereas other markets are identified as major risk receivers. Surprisingly, bonds, gold, and shipping are safe havens that facilitate portfolio optimization. Furthermore, using wavelet coherence analysis, we find that the coherence between dynamic total spillover and COVID-19 varies across time and frequency domains.
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