International stock market risk contagion during the COVID-19 pandemic

This research focuses on the direct and indirect systemic risk spillovers among East Asian, European, and U.S. stock markets under the COVID-19 pandemic. Based on the GARCH-Copula-CoVaR model, we construct the direct spillover matrix of systemic risk and further explore the indirect spillover path through R-vine. The empirical results first show via the direct path that Hong Kong exhibited the largest change in value of risk after the pandemic erupted. Second, the indirect path is that European and U.S. stock market risks are transmitted to China domestically via Hong Kong and Japan. The key nodes provide reference for risk prevention.

The Path of Financial Risk Spillover in the Stock Market Based on the R-Vine-Copula Model

Systemic risk of Chinese financial institutions and asset price bubbles

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9359631

Xunhong Wang

Papers

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory