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Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Corbet, Shaen orcid logoORCID: 0000-0001-7430-7417, Hou, Yang (Greg) orcid logoORCID: 0000-0003-0017-9912, Hu, Yang, Oxley, Les orcid logoORCID: 0000-0003-3621-2323 and Xu, Danyang (2020) Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. International Review of Economics and Finance, 71 . pp. 55-81. ISSN 1059-0560

Abstract
Utilising Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and longstanding influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation.
Metadata
Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:COVID-19; Coronavirus; China; Volatility Spillovers; Bitcoin; Flight-to-Safety
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Elsevier
Official URL:https://dx.doi.org/10.1016/j.iref.2020.06.022
Copyright Information:© 2020 The Authors. Open access (CC-BY-4.0)
ID Code:25987
Deposited On:09 Jun 2021 17:08 by Thomas Murtagh . Last Modified 09 Jun 2021 17:08
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