Pandemic-related financial market volatility spillovers:
Evidence from the Chinese COVID-19 epicentre
Corbet, ShaenORCID: 0000-0001-7430-7417, Hou, Yang (Greg)ORCID: 0000-0003-0017-9912, Hu, Yang, Oxley, LesORCID: 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
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.