ArticleInternational review of financial analysis2021
Asymmetric volatility spillover among Chinese sectors during COVID-19.
Article in International review of financial analysis, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 21 papers.
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Who cites it
21 citing papers in PubMed.
- Interstage market spillovers of the photovoltaic industry chain in China.Scientific reports · 2025Article
- Characteristics and dynamic evolution of inter-industry volatility spillovers in China's stock market.PloS one · 2025Article
- How does Chinese stock market react to breaking news about COVID-19? Evidence from event study.Heliyon · 2024Article
- Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets.PloS one · 2024Article
- Review
- Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic.Resources policy · 2023Article
- Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?Journal of financial stability · 2023Article
- Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis.Economic analysis and policy · 2023Article
- Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia.PloS one · 2023Article
- Dynamic risk spillover effect and path of risk transmission across industrial sectors in China during COVID-19 epidemic.PloS one · 2023Article
- Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic.Research in international business and finance · 2022Article
- Impact of COVID-19 pandemic on Moroccan sectoral stocks indices.Scientific African · 2022Review
- Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms.Annals of operations research · 2022Article
- How does China's stock market react to supply chain disruptions from COVID-19?International review of financial analysis · 2022Article
- Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets.International review of financial analysis · 2022Article
- Network based evidence of the financial impact of Covid-19 pandemic.International review of financial analysis · 2022Article
- Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index.PloS one · 2022Article
- Effect of COVID-19 on risk spillover between fintech and traditional financial industries.Frontiers in public health · 2022Article
- The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis.PloS one · 2022Article
- Stock market comovements: Evidence from the COVID-19 pandemic.Journal of economic asymmetries · 2021Article
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Authors and funding
4 authors.
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Abstract
Inter-sectoral volatility linkages in the Chinese stock market are understudied, especially asymmetries in realized volatility connectedness, accounting for the catastrophic event associated with the COVID-19 outbreak. In this paper, we examine the asymmetric volatility spillover among Chinese stock market sectors during the COVID-19 pandemic using 1-min data from January 2, 2019 to September 30, 2020. In doing so, we build networks of generalized forecast error variances by decomposition of a vector autoregressive model, controlling for overall market movements. Our results show evidence of the asymmetric impact of good and bad volatilities, which are found to be time-varying and substantially intense during the COVID-19 period. Notably, bad volatility spillover shocks dominate good volatility spillover shocks. The findings are useful for Chinese investors and portfolio managers constructing risk hedging portfolios across sectors and for Chinese policymakers monitoring and crafting stimulating policies for the stock market at the sectoral level.
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