Research on the dynamic spillover of stock markets under Covid-19—Taking the stock markets of China, Japan, and South Korea as an example
Bibliographic Data
| ID | 22080386 |
|---|---|
| Authors | Baicheng Zhou (0000-0001-7165-6419, Jilin University of Finance and Economics), Qingshu Yin (Jilin University of Finance and Economics), Shu Wang (0009-0009-1730-2316, Jilin University of Finance and Economics, corresponding author), Tianye Li (0000-0002-9422-5782, Jilin University of Finance and Economics) |
| Year | 2022 |
| Volume | 10 |
| Pages | 1008348-1008348 |
| Publication date | 2022-11-11 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Frontiers in Public Health (JOURNAL) |
| Journal identifiers | ISSN: 2296-2565 • E-ISSN: 2296-2565 |
| Publisher | Frontiers Media SA (PUBLISHER • CH) |
| DOI | 10.3389/fpubh.2022.1008348 |
| PMID | 36438261 |
| OpenAlex | W4308935944 |
| Language | EN |
| References cited | 41 |
Examining stock market interactions between China (mainland China and Hong Kong), Japan, and South Korea, this study employs a framework that includes 239 economic variables to identify the spillover effects among these three countries, and empirically simulates the dynamic time-varying non-linear relationship between the stock markets of different countries. The findings are that in recent decades, China's stock market relied on Hong Kong's as a window to the exchange of price information with Japan and South Korea. More recently, the China stock market's spillover effect on East Asia has expanded. The spread of the crisis has strengthened co-movement between the stock markets of China, Japan, and South Korea
Business · China · Economics · Geography · Mainland China · Spillover effect · Stock exchange · Stock market · COVID-19 Pandemic Impacts · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
| Highly cited | No |
|---|