Financial stress spillover network across Asian countries in the context of COVID-19

ABSTRACT

Using the dynamic connectedness framework of Antonakakis et al. (2020), this paper explores the financial stress spillover characteristic across nine Asian countries during major economic, political and public health emergency events, especially during COVID-19. We first find a substantial increase in the intensity of total financial stress spillover across nine Asian countries during COVID-19. Second, there are clear differences in the financial stress spillover networks across Asian countries during different economic and political events. In particular, in the first three months after the outbreak of COVID-19, there was considerable month-to-month variation in the financial stress spillover network. Singapore and Japan are the major net transmitter and receiver of financial stress shocks, respectively, during all considered events. During COVID-19, China, as the first country to detect and contain COVID-19, is the strongest net financial stress shock receiver in March 2020, but transmitted net financial stress shocks in February 2020, when the epidemic in China is serious.

KEYWORDS:

• Financial stress
• spillover network
• COVID-19
• Asian countries

JEL CLASSIFICATION:

• B23
• G15

Disclosure statement

No potential conflict of interest was reported by the author(s).

Correction Statement

This article has been republished with minor changes. These changes do not impact the academic content of the article.

Notes

¹ https://aric.adb.org/database/aeir-datacatalogue

² The time periods corresponding to each economic and political event are obtained from the Asian Regional Integration Center.

Additional information

Funding

This work was supported by the National Natural Science Foundation of China [72071162] and the National Natural Science Foundation of China [71901158].