The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Zhang, Yi, Zhou, Long, Chen, Yajiao and Liu, Fang 2022. The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. North American Journal of Economics and Finance 61 , 101688. 10.1016/j.najef.2022.101688

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Abstract

This paper tests the market jump contagion hypothesis in the context of the Covid-19 pandemic. We first use a nonparametric approach to identify jumps by decomposing the realized volatility into continuous and jump components, and we use the threshold autoregressive model to describe the jump interdependency structure between different markets. We empirically investigate the contagion effect across several major Asian equity markets (Mainland China, Hong Kong, Japan, South Korea, Singapore, Thailand, and Taiwan) using the 5-minute high frequency data. Some key findings emerge: jump behaviors occur frequently and make an important contribution to the total realized volatility; jump dynamics exhibit significant nonlinearity, asymmetry, and the feature of structural breaks, which can be effectively captured by the threshold autoregressive model; jump contagion effects are obviously detected and this effect varies depending on the regime.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	1062-9408
Date of First Compliant Deposit:	23 March 2023
Date of Acceptance:	31 March 2022
Last Modified:	06 Jan 2024 03:10
URI:	https://orca.cardiff.ac.uk/id/eprint/157907

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