| 题名 |
The Study of the Pandemic on Asian stock markets during the COVID 19 Period |
| DOI |
10.6285/MIC.202208/SP_02_11.0007 |
| 作者 |
YuLu Liao；HuiChen Chiang；Doan Ha Bich Ngoc Milienne |
| 关键词 |
return spillovers ； volatility spillovers ； Asian stock markets |
| 期刊名称 |
管理資訊計算 |
| 卷期/出版年月 |
11卷特刊2（2022 / 08 / 01） |
| 页次 |
65 - 73 |
| 内容语文 |
英文 |
| 中文摘要 |
The COVID-19 epidemic has spread to every country on the planet. Furthermore, some studies have claimed that there is a considerable return on investment and that volatility spillovers between China and Asian stock markets are bigger than before. This study will focus on both stock return and volatility spillovers between China and six Asian countries before, during and after the COVID-19 pandemic. By using unit-root tests to look at the stationarity of all the series, as well as the VAR model with Granger Causality test and impulse response function to look at the spillover dynamics and return transmission between nations. Furthermore, this paper use the BEKK GARCH model to see if the extents of volatility spillover change in three pandemic eras. Except for Malaysia, return spillovers between China and Asian markets appear to be excellent both during and after the COVID-19 outbreak. In compared to the pre-COVID-19 era, impulse reactions from one nation to another are substantially longer and stronger during the COVID-19 period, but are significantly weaker following the pandemic. This suggests that the nations grew more integrated during the outbreak and less integrated after the pandemic ended. |
| 主题分类 |
基礎與應用科學 >
資訊科學 社會科學 > 管理學 |
| 参考文献 |
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