TY - JOUR
T1 - Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses
AU - Yousaf, Imran
AU - Mensi, Walid
AU - Vo, Xuan Vinh
AU - Kang, Sanghoon
N1 - Publisher Copyright:
© 2023, Emerald Publishing Limited.
PY - 2023
Y1 - 2023
N2 - Purpose: This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower quantiles provides insightful information to investors regarding tail risk propagation, which ultimately suggests that investors adjust their portfolios according to the extreme bullish and bearish market conditions. Design/methodology/approach: The authors employ the quantile connectedness approach of Ando et al. (2022) to examine the quantile transmission mechanism among the ASEAN and Chinese stock markets. Findings: The results show significant evidence of a higher level of connectedness between Chinese and ASEAN stock markets at extreme upper and lower quantiles compared to the median quantiles, which suggests the use of a quantile-based connectedness approach instead of an average-measure-based one. Furthermore, the time-varying connectedness analysis shows that the total spillovers reach the highest peaks during the global financial crisis, the Chinese stock market crash and the COVID-19 pandemic at the upper, lower and median quantiles. Finally, the static and dynamic pairwise spillovers between the Chinese and ASEAN markets vary over quantiles as well. Originality/value: This study is the first attempt to examine quantile vector autoregression (VAR)-based return spillovers between China and ASEAN stock markets during different market statuses. Besides, the COVID-19 has intensified the uncertainty in Asian countries, mainly China and ASEAN economies.
AB - Purpose: This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower quantiles provides insightful information to investors regarding tail risk propagation, which ultimately suggests that investors adjust their portfolios according to the extreme bullish and bearish market conditions. Design/methodology/approach: The authors employ the quantile connectedness approach of Ando et al. (2022) to examine the quantile transmission mechanism among the ASEAN and Chinese stock markets. Findings: The results show significant evidence of a higher level of connectedness between Chinese and ASEAN stock markets at extreme upper and lower quantiles compared to the median quantiles, which suggests the use of a quantile-based connectedness approach instead of an average-measure-based one. Furthermore, the time-varying connectedness analysis shows that the total spillovers reach the highest peaks during the global financial crisis, the Chinese stock market crash and the COVID-19 pandemic at the upper, lower and median quantiles. Finally, the static and dynamic pairwise spillovers between the Chinese and ASEAN markets vary over quantiles as well. Originality/value: This study is the first attempt to examine quantile vector autoregression (VAR)-based return spillovers between China and ASEAN stock markets during different market statuses. Besides, the COVID-19 has intensified the uncertainty in Asian countries, mainly China and ASEAN economies.
KW - ASEAN stocks
KW - Asymmetry
KW - COVID-19 pandemic
KW - Quantile spillovers
KW - Tail connectedness
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U2 - 10.1108/IJOEM-07-2022-1194
DO - 10.1108/IJOEM-07-2022-1194
M3 - Article
AN - SCOPUS:85149293761
SN - 1746-8809
JO - International Journal of Emerging Markets
JF - International Journal of Emerging Markets
ER -