Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario
This paper focuses on the multi-scale spillover and time-varying dependence of Chinese stock market and its important trading partners along the Belt and Road around the COVID-19 crisis. We use multiple methods - the DY (12) and BK (18) connectedness approaches that investigate dynamic and frequency...
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| Format: | Article |
| Language: | English |
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Pompea College of Business
2024-11-01
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| Series: | American Business Review |
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| Online Access: | https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/1/ |
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| author | Hongjun Zeng Abdullahi D. Ahmed |
| author_facet | Hongjun Zeng Abdullahi D. Ahmed |
| author_sort | Hongjun Zeng |
| collection | DOAJ |
| description | This paper focuses on the multi-scale spillover and time-varying dependence of Chinese stock market and its important trading partners along the Belt and Road around the COVID-19 crisis. We use multiple methods - the DY (12) and BK (18) connectedness approaches that investigate dynamic and frequency connectedness; the wavelet coherence and the time-varying CoVaR to examine the connection between price lead lags and systemic risk spillovers. Our empirical results show spillovers to be asymmetric, and short-term spillovers dominating. Meanwhile, the level of spillover in the system increased sharply after the COVID-19. In the medium and long-term frequency domains, wavelet coherence reveals strong co-movement between the Chinese market and its major trading partners. We see that the highest level of systematic risk spillovers occurs at the beginning of the COVID-19 outbreak. Finally, the weighting of the Chinese stock market in the effective portfolio rises after the COVID-19 outbreak. |
| format | Article |
| id | doaj-art-77ffdbe7835e4cfcad66c0d2932fb61e |
| institution | OA Journals |
| issn | 0743-2348 2689-8810 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | Pompea College of Business |
| record_format | Article |
| series | American Business Review |
| spelling | doaj-art-77ffdbe7835e4cfcad66c0d2932fb61e2025-08-20T02:14:46ZengPompea College of BusinessAmerican Business Review0743-23482689-88102024-11-0127237240010.37625/abr.27.2.372-400Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 ScenarioHongjun Zeng0Abdullahi D. Ahmed1RMIT University, Melbourne, Australia RMIT University, Melbourne, AustraliaThis paper focuses on the multi-scale spillover and time-varying dependence of Chinese stock market and its important trading partners along the Belt and Road around the COVID-19 crisis. We use multiple methods - the DY (12) and BK (18) connectedness approaches that investigate dynamic and frequency connectedness; the wavelet coherence and the time-varying CoVaR to examine the connection between price lead lags and systemic risk spillovers. Our empirical results show spillovers to be asymmetric, and short-term spillovers dominating. Meanwhile, the level of spillover in the system increased sharply after the COVID-19. In the medium and long-term frequency domains, wavelet coherence reveals strong co-movement between the Chinese market and its major trading partners. We see that the highest level of systematic risk spillovers occurs at the beginning of the COVID-19 outbreak. Finally, the weighting of the Chinese stock market in the effective portfolio rises after the COVID-19 outbreak.https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/1/belt and roadspillover structuresystemic risk spilloverlead-lag relationshipcovid-19 |
| spellingShingle | Hongjun Zeng Abdullahi D. Ahmed Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario American Business Review belt and road spillover structure systemic risk spillover lead-lag relationship covid-19 |
| title | Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario |
| title_full | Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario |
| title_fullStr | Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario |
| title_full_unstemmed | Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario |
| title_short | Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario |
| title_sort | risk transmission and hedging strategies between chinese stock market and major trading partners along the belt and road in covid 19 scenario |
| topic | belt and road spillover structure systemic risk spillover lead-lag relationship covid-19 |
| url | https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/1/ |
| work_keys_str_mv | AT hongjunzeng risktransmissionandhedgingstrategiesbetweenchinesestockmarketandmajortradingpartnersalongthebeltandroadincovid19scenario AT abdullahidahmed risktransmissionandhedgingstrategiesbetweenchinesestockmarketandmajortradingpartnersalongthebeltandroadincovid19scenario |