Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic.

ABSTRACT: The COVID-19 pandemic, which originated in Wuhan, China, precipitated the stock market crash of March 2020. According to published global data, the U.S. has been most affected by the tragedy throughout this outbreak. Understanding the degree of integration between the financial systems of the world's two largest economies, particularly during the COVID-19 pandemic, necessitates thorough research of the risk transmission from China's stock market to the U.S. stock market. This study examines the volatility transmission from the Chinese to the U.S. stock market from January 2001 to October 2020. We employ a variant form of the EGARCH (1,1) model with long-term control over the excessive volatility breakpoints identified by the ICSS algorithm. Since 2004, empirical evidence indicates that the

SUBMITTER: Vuong GTH 

PROVIDER: S-EPMC9561434 | biostudies-literature | 2022 Nov

REPOSITORIES: biostudies-literature