Financial contagion among COVID-19 concept-related stocks in China

This paper investigates, for the first time, the presence of financial contagion among several important Chinese coronavirus concept-based stock indices during the recent COVID-19 global pandemic. We utilize a regime-switching skew-normal (RSSN) methodology to test for contagion through the correlation and coskewness channels while considering structural breaks in the different moments. Our results present evidence of contagion effects, which are robust across identified crisis and non-crisis periods, including that of the Wuhan lockdown. Our empirical results offer investors and policy-makers an additional layer of information when evaluating response mechanisms to major crises through the use of concept-based indices.

Automated summary

This paper investigates financial contagion among major Chinese coronavirus concept-based stock indices during the COVID-19 pandemic, using a regime-switching skew-normal methodology to identify evidence of contagion effects across crisis and non-crisis periods. The empirical results provide additional information for investors and policymakers to evaluate response mechanisms to major crises using concept-based indices.