Financial stress spillover network across Asian countries in the context of COVID-19

Using the dynamic connectedness framework of Antonakakis et al. (2020), this paper explores the financial stress spillover characteristic across nine Asian countries during major economic, political and public health emergency events, especially during COVID-19. We first find a substantial increase...

Full description

Saved in:
Bibliographic Details
Published in:Applied economics letters 2023-04, Vol.30 (7), p.965-974
Main Authors: Li, Xiafei, Liang, Chao, Ma, Feng
Format: Article
Language:English
Subjects:
Asian countries
Coronaviruses
COVID-19
Disease transmission
Economic analysis
Economic stress
Economic theory
Economics
Epidemics
Financial stress
Public health
Spillover effect
spillover network
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Using the dynamic connectedness framework of Antonakakis et al. (2020), this paper explores the financial stress spillover characteristic across nine Asian countries during major economic, political and public health emergency events, especially during COVID-19. We first find a substantial increase in the intensity of total financial stress spillover across nine Asian countries during COVID-19. Second, there are clear differences in the financial stress spillover networks across Asian countries during different economic and political events. In particular, in the first three months after the outbreak of COVID-19, there was considerable month-to-month variation in the financial stress spillover network. Singapore and Japan are the major net transmitter and receiver of financial stress shocks, respectively, during all considered events. During COVID-19, China, as the first country to detect and contain COVID-19, is the strongest net financial stress shock receiver in March 2020, but transmitted net financial stress shocks in February 2020, when the epidemic in China is serious.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2022.2030852