Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic: A time-varying copula approach

Figures & data

Table 1. List of countries with corresponding region and stock market indices

Region	Country	Stock market index	Symbol
Asia	China	Shanghai Share Index	RCHN
	South Korea*	KOSPI Composite Index	RSKR
	Japan*	Nikkei 225 Stock Average Index	RJAP
	India	Nifty 500 Index	RIND
	Indonesia	IDX Composite Index	RIDO
	Russia	MOEX Price index	RRSS
	Saudi Arabia	Saudi Tadawul All Share Index	RSAR
	Turkey	BIST National 100 Index	RTUR
Europe	Germany*	Dax performance Index	RGER
	Italy*	FTSE All Share Index	RITA
	United Kingdom*	FTSE 100 Price Index	RUK
	France*	CAC 40 Index	RFR
	Spain	IBEX 35 Index	RSP
America	Canada*	S&P/TSX Composite Index	RCAN
	United States*	S&P 500 Composite Price Index	RUS
	Mexico	Mexico IPC (bolsa) Index	RMEX
	Brazil	Brazil Bovespa - Total Return Index	RBRA
	Argentina	S&P Merval Index	RARG
Oceania	Australia*	S&P/ASX 200 Index	RAUS
Africa	South Africa	FTSE/JSE All Share Index	RSAF

The asterisk * indicates a developed country as classified by MSCI.

Table 2. Statistics on COVID-19 pandemic until 7 April 2022

	Confirmed cases	Rank	Deaths	Rank	Vaccinations	Rank
China	332596	20	4638	20	3289463000	1
South Korea	14983694	9	18754	16	121202706	14
Japan	6885876	13	54879	14	262116628	6
India	43033067	2	521573	3	1852472643	2
Indonesia	6028413	14	155509	8	384378545	5
Russia	17693468	7	363455	4	164655183	9
Saudi Arabia	751518	19	9054	18	60953969	18
Turkey	14939259	10	9354	17	147171659	10
Germany	22441051	5	131370	10	178921658	8
Italy	15106066	8	160402	7	136158996	13
United Kingdom	21578364	6	169569	6	143098332	11
France	26602828	4	143086	9	142743866	12
Spain	11578653	11	102747	12	94130810	16
Canada	3537010	18	37875	15	82429836	17
United States	80369532	1	986938	1	569533603	3
Mexico	5715504	15	323508	5	191907868	7
Brazil	30095328	3	661228	2	419669076	4
Argentina	9049250	12	128158	11	97567049	15
Australia	4971300	16	6526	19	56668400	19
South Africa	3728689	17	100075	13	33991918	20

Figure 1. Evolution of G20 stock market indices.

Figure 2. Evolution of G20 stock market returns.

Table 3. Descriptive statistics of stock market returns over all period

Statistic	Mean (%)	Min	Max	Std.Dev	Skw	Kur	J-B (10^3)	Q(10)	ARCH(10)
Panel 1: Asian countries
China	0.015	−0.089	0.056	0.013	−1.114	10.984	6.919***	34.000***	37.720***
South Korea	0.012	−0.088	0.083	0.009	−0.259	13.090	10.279***	32.783***	172.632***
Japan	0.039	−0.083	0.077	0.013	−0.257	7.693	2.244***	23.276***	24.909***
India	0.048	−0.137	0.074	0.010	−1.555	22.020	37.406***	57.131***	56.679***
Indonesia	0.021	−0.068	0.097	0.010	−0.186	10.828	6.184***	19.253***	53.624***
Russia	0.024	−0.405	0.183	0.015	−7.860	232.020	5307.076***	53.350***	11.142***
Saudi Arabia	0.027	−0.087	0.085	0.011	−1.019	15.360	15.803***	61.121***	58.663***
Turkey	0.045	−0.111	0.062	0.014	−0.953	9.213	4.253***	19.109***	13.448***
Panel 2: European countries
Germany	0.025	−0.131	0.104	0.012	−0.613	13.916	12.152***	27.558***	57.258***
Italy	0.012	−0.185	0.082	0.014	−1.514	20.600	32.118***	31.926***	29.990***
United Kingdom	0.010	−0.115	0.087	0.010	−0.894	16.833	19.591***	40.204***	79.445***
France	0.024	−0.131	0.081	0.012	−0.874	14.467	13.549***	21.679***	56.742***
Spain	0.001	−0.152	0.082	0.013	−1.271	18.666	25.366***	21.409***	27.904***
Panel 3: American countries
Canada	0.023	−0.132	0.113	0.009	−1.875	52.498	248.160***	221.480***	134.014***
United States	0.048	−0.128	0.090	0.010	−1.003	24.708	47.864***	299.800***	170.031***
Mexico	0.010	−0.066	0.047	0.010	−0.451	6.989	1.684***	39.749***	57.745***
Brazil	0.028	−0.160	0.130	0.016	−0.966	17.124	20.465***	85.418***	168.630***
Argentina	0.144	−0.477	0.098	0.025	−3.315	62.911	365.904***	1.019	1.821**
Panel 4: Oceania countries
Australia	0.020	−0.102	0.068	0.010	−1.130	16.533	18.958***	81.511***	175.278***
Panel 5: African countries
South Africa	0.026	−0.102	0.073	0.011	−0.754	12.101	8.569***	33.787***	133.140***

Min is the minimum. Max is the maximum. Std. Dev is the standardized deviation. Skew is the Skewness. Kur is the Kurtosis. J-B is the statistic of the Jarque-Bera (1980) test for normality. Q(10) is the statistic of Ljung-Box test for serial correlation, corrected for heteroscedasticity, computed with 10 lags. ARCH (10) is the statistic of ARCH test of Engle (1982) with 10 lags for conditional heteroscedasticity. *** indicates the rejection of the null hypothesis at the 1% level.

Table 4. Descriptive statistics of stock market returns for each subperiod

	Calm Period		COVID-19 Period		Vaccination Period
Statistic	Mean (%)	Std. Dev	Mean (%)	Std. Dev	Mean (%)	Std. Dev
Panel 1: Asian countries
China	0.016	0.014	0.041	0.013	−0.012	0.009
South Korea	0.005	0.007	0.092	0.018	−0.007	0.010
Japan	0.045	0.013	0.049	0.016	0.002	0.012
India	0.040	0.009	0.049	0.019	0.089	0.010
Indonesia	0.021	0.009	−0.019	0.016	0.050	0.008
Russia	0.040	0.011	0.027	0.016	−0.062	0.028
Saudi Arabia	0.011	0.011	0.015	0.015	0.125	0.007
Turkey	0.021	0.014	0.076	0.017	0.153	0.017
Panel 2: European countries
Germany	0.030	0.011	−0.001	0.021	0.018	0.012
Italy	0.017	0.013	−0.038	0.022	0.026	0.012
United Kingdom	0.014	0.008	−0.060	0.019	0.042	0.009
France	0.027	0.010	−0.032	0.021	0.046	0.011
Spain	0.009	0.011	−0.067	0.022	0.012	0.011
Panel 3: American countries
Canada	0.018	0.007	0.007	0.021	0.066	0.007
United States	0.045	0.008	0.050	0.022	0.061	0.009
Mexico	0.000	0.009	−0.001	0.016	0.069	0.010
Brazil	0.035	0.014	−0.004	0.028	0.011	0.012
Argentina	0.147	0.024	0.096	0.033	0.159	0.019
Panel 4: Oceania countries
Australia	0.021	0.008	−0.009	0.019	0.032	0.008
Panel 5: African countries
South Africa	0.021	0.009	0.012	0.019	0.064	0.010

In this Table, we focus only on the mean and the standard deviation in order to detect the both effect of the COVID-19 pandemic and the introduction of vaccination on the return and the variance of the stock markets. Calm period is from 3 January 2013 to 30 December 2019 (1824 observations). COVID-19 period is from 31 December 2019 to 14 December 2020 (250 observations). Vaccination period is from 15 December 2020 to 7 April 2022 (343 observations).

Table 5. Linear correlation coefficients for each subperiod

Pair	${\rho }_{calm}$	${\rho }_{covid}$	${\rho }_{vaccin}$	$\mathrm{\Delta }{\rho }_1$	$\mathrm{\Delta }{\rho }_2$
Panel 1: Asian countries
(China, South Korea)	0.291	0.462	0.394	0.171	0.068
(China, Japan)	0.246	0.383	0.346	0.137	0.037
(China, India)	0.185	0.420	0.218	0.235	0.202
(China, Indonesia)	0.184	0.286	0.274	0.102	0.012
(China, Russia)	0.144	0.211	0.140	0.067	0.071
(China, Saudi Arabia)	0.133	0.305	0.161	0.172	0.144
(China, Turkey)	0.079	0.238	0.041	0.159	0.197
Panel 2: European countries
(China, Germany)	0.155	0.304	0.058	0.149	0.246
(China, Italy)	0.109	0.224	0.038	0.115	0.186
(China, United Kingdom)	0.187	0.301	0.146	0.114	0.155
(China, France)	0.157	0.311	0.086	0.155	0.226
(China, Spain)	0.126	0.265	0.041	0.138	0.223
Panel 3: American countries
(China, Canada)	0.151	0.288	0.136	0.137	0.152
(China, United States)	0.141	0.259	0.075	0.119	0.184
(China, Mexico)	0.143	0.234	0.097	0.091	0.137
(China, Brazil)	0.105	0.280	0.098	0.175	0.182
(China, Argentina)	0.068	0.258	0.104	0.190	0.153
Panel 4: Oceania countries
(China, Australia)	0.225	0.339	0.274	0.114	0.065
Panel 5: African countries
(China, South Africa)	0.233	0.416	0.324	0.184	0.093

$\mathrm{\Delta }{\rho }_1$ and$\mathrm{\Delta }{\rho }_2$are computed as $\mathrm{\Delta }{\rho }_1={\rho }_{calm}-{\rho }_{covid}$ and $\mathrm{\Delta }{\rho }_2={\rho }_{covid}-{\rho }_{calm}$respectively.

Table 6. Estimation results of time-varying SJC copulas for each subperiod

	Calm period						COVID-19 period						Vaccination period
Pair	${\omega }_U^{SJC}$	${\beta }_U^{SJC}$	${\alpha }_U^{SJC}$	${\omega }_L^{SJC}$	${\beta }_L^{SJC}$	${\alpha }_L^{SJC}$	${\omega }_U^{SJC}$	${\beta }_U^{SJC}$	${\alpha }_U^{SJC}$	${\omega }_L^{SJC}$	${\beta }_L^{SJC}$	${\alpha }_L^{SJC}$	${\omega }_U^{SJC}$	${\beta }_U^{SJC}$	${\alpha }_U^{SJC}$	${\omega }_L^{SJC}$	${\beta }_L^{SJC}$	${\alpha }_L^{SJC}$
Panel 1: Asian countries
China, S. Korea	−11.564	−24.996	−20.007***	0.636***	−4.624	−2.617***	0.395***	−8.731*	−0.004	0.653***	−4.556***	−0.171***	−12.241	24.969	9.172	0.005	−3.057	0.267
	(−1.508)	(−0.005)	(−9.233)	(2.777)	(−1.051)	(−5.211)	(7.315)	(−1.712)	(−0.098)	(10.046)	(−11.390)	(−3.420)	(0.063)	(.711)	(−0.098)	(10.046)	(−0.040)	(−0.050)
China, Japan	−0.871	−14.423***	−17.371	3.296***	−15.535	−3.490***	−1.951***	−3.384***	−5.456*	0.354***	−4.089***	−0.743**	2.134	−14.959***	−0.743	−5.343***	9.280***	4.973
	(−1.545)	(−4.021)	(−0.930)	(4.011)	(−1.177)	(−3.124)	(−15.734)	(−2.603)	(−1.819)	(5.803)	(−12.981)	(−2.315)	(0.210)	(−11.967)	(−0.003)	(−8.759)	(2.946)	(1.549)
China, India	−2.868***	−22.722***	−0.833***	−1.930***	−3.639	5.327***	−4.844***	−24.990***	−7.266***	−4.658***	16.257***	−1.573***	4.344***	−24.990***	−7.266***	−4.658***	16.257***	−1.573***
	(−2.155)	(−3.844)	(−11.771)	(−11.022)	(−1.548)	(10.311)	(3.475)	(−29.574)	(−6.447)	(−5.153)	(11.196)	(−10.214)	(3.475)	(−2.957)	(−6.447)	(−5.153)	(11.196)	(−10.214)
China, Indonesia	−14.775***	−22.381	−11.754**	2.604***	−14.132	−6.664***	−15.164***	−0.001	−1.001	−1.016**	−1.613***	3.649***	−10.768***	25.000***	1.687*	−2.382***	−16.944***	−0.430
	(−10.554)	(−0.014)	(−2.106)	(3.045)	(−0.145)	(−3.014)	(−13.491)	(−0.004)	(−0.975)	(−2.162)	(−6.401)	(2.931)	(−9.580)	(10.204)	(1.643)	(2.725)	(−6.724)	(−0.345)
China, Russia	−0.982***	−7.564	−4.424***	−0.923***	−9.249	4.766***	−15.759***	−2.102***	−0.017	−9.743***	−24.994***	−1.857***	3.605	−17.639	−9.564***	−6.326**	6.863***	−0.428
China, S.Arabia	(−14.959)	(−0.044)	(−4.221)	(−5.600)	(−0.234)	(9.819)	(−32.426)	(−2.341)	(−0.002)	(−4.542)	(−9.503)	(−2.839)	(−0.486)	(−0.898)	(−11.256)	(−2.145)	(26.095)	(−0.654)
Panel 2: European countries
China, Germany	−6.386	10.076***	−25.000***	3.017***	−18.486	−2.789***	−4.231	−17.725*	0.082	−1.275**	−2.545	2.265	−14.402	24.968*	4.397	−22.692***	3.518	5.386
	(−0.256)	(−12.256)	(−21.210)	(15.220)	(−0.400)	(8.360)	(−0.870)	(−1.656)	(0.687)	(−2.458)	(−0.514)	(1.234)	(−0.870)	(1.656)	(0.687)	(−2.458)	(0.514)	(1.234)
China, Italy	−13.591***	−1.884***	−0.013***	−2.142*	−15.637	−2.133***	−4.541***	−25.000*	−2.068	−1.217*	24.999***	1.157	−15.433	25.000***	5.622***	−19.103***	−0.002	−8.289***
	(−10.845)	(−11.379)	(−14.114)	(−1.824)	(−1.221)	(3.442)	(−3.959)	(−1.803)	(−1.250)	(−1.654)	(47.983)	(0.103)	(−1.147)	(18.025)	(3.399)	(−25.336)	(−0.004)	(−11.235)
China, U.K	−0.391*	−8.218	−17.986**	1.106*	−9.071***	−7.903	−3.155***	−0.542	10.783***	−0.544***	−4.620***	1.833	−5.144	8.536	−9.139	−4.814***	−6.242*	−4.907***
	(−1.610)	(0.125)	(−2.365)	(1.723)	(−2.356)	(−0.235)	(−19.356)	(−0.529)	(10.572)	(−2.531)	(−2.655)	(0.179)	(−0.163)	(1.024)	(−0.102)	(−4.701)	(−1.740)	(−10.234)
China, France	−6.909***	6.605*	13.716***	−0.364*	−8.687	3.590	−5.120***	−9.399***	−3.340***	−2.425**	−15.197***	0.348	−13.842*	24.999	3.653	−15.456***	−2.690***	−0.010***
	(−2.476)	(−1.814)	(35.809)	(−1.729)	(0.087)	(−0.668)	(−3.008)	(−8.834)	(−4.507)	(−1.934)	(−20.155)	(0.244)	(−1.702)	(1.064)	(0.741)	(−4.930)	(−12.325)	(−3.568)
China, Spain	3.193	−24.995***	−4.164***	1.013***	−14.599	−4.989***	−2.729*	−24.246***	−1.905	−10.945***	−24.994***	0.366	3.249	−24.246*	−0.014***	−14.703**	6.201*	−4.179***
	(0.870)	(−2.784)	(−16.064)	(11.833)	(−0.713)	(6.761)	(−1.859)	(−13.784)	(−0.294)	(−16.659)	(−76.905)	(0.869)	(1.468)	(−1.759)	(−6.474)	(−2.238)	(1.908)	(−9.080)
Panel 3: American countries
China, Canada	−4.020***	−0.939***	−24.992***	0.877***	−11.572*	−18.389***	−1.800	−5.248***	0.095	−2.268***	−1.212	5.777***	−6.056	4.099	21.832	−12.749*	24.970***	−10.006**
	(−12.415)	(−11.323)	(−8.068)	(4.112)	(−1.632)	(−12.245)	(−1.594)	(−3.539)	(0.090)	(−2.988)	(−1.310)	(4.574)	(−1.129)	(1.483)	(1.059)	(−1.678)	(2.699)	(−1.897)
China, Mexico	−3.542	−24.999***	−1.099***	−2.368***	−20.139***	−6.396	−2.476***	1.890***	−2.611***	−3.349***	4.968	−5.709***	−13.653	24.977	−0.801	−12.607***	−0.170***	−1.638
	(−1.235)	(−2.114)	(−9.215)	(−5.329)	(4.888)	(−1.223)	(−5.881)	(3.322)	(−5.777)	(−7.409)	(1.165)	(−4.520)	(−0.421)	(0.569)	(−0.452)	(−2.789)	(−4.265)	(−1.263)
China, Brazil	2.930***	−23.000***	−2.562***	−3.266***	−17.674	−3.038	−1.126	−5.956	4.373	−2.139*	−2.803*	−6.034	−13.312	−0.008	−1.147	−13.844***	24.999*	−1.165
	(−10.302)	(−8.225)	(−11.604)	(−8.214)	(−1.214)	(−0.214)	(−0.845)	(−0.623)	(0.302)	(−1.675)	(−1.754)	(−1.265)	(−0.845)	(−0.623)	(−0.302)	(−9.386)	(1.754)	(−1.265)
Panel 4: Oceania countries
China, Australia	−13.886	25.000	−18.454***	−0.413***	−5.968	−2.143	−15.023***	−6.597***	−7.409	−1.701*	−5.968***	−3.682	−10.403	24.999	20.930***	0.937**	−5.013*	−7.238***
	(−0.691)	(0.995)	(−18.856)	(−2.190)	(−0.263)	(−0.848)	(−13.366)	(−26.927)	(−0.724)	(−1.946)	(−3.608)	(−0.258)	(−1.124)	(0.245)	(10.230)	(1.874)	(−1.654)	(−14.298)
Panel 5: African countries
China, S. Africa	−1.670	−3.213***	−4.372***	−2.051***	−14.155	−2.224***	−1.102***	−14.600***	−2.792***	−2.309***	11.720***	−3.995***	2.012	−16.847	−0.068	−3.623	3.808	4.450
	(0.875)	(−2.124)	(−8.045)	(−6.789)	(−1.215)	(−4.122)	(−20.407)	(−30.608)	(−6.488)	(−4.492)	(17.920)	(−7.624)	(−0.054)	(−0.477)	(−0.433)	(−1.514)	(0.654)	(0.524)

Table 7. Estimation results of time-varying SJC copulas for each subperiod

	Calm period			COVID-19 period			Vaccination period
Pair	${\omega }_{\hspace{0.17em}}^N$	${\beta }_{\hspace{0.17em}}^N$	${\alpha }_{\hspace{0.17em}}^N$	${\omega }_{\hspace{0.17em}}^N$	${\beta }_{\hspace{0.17em}}^N$	${\alpha }_{\hspace{0.17em}}^N$	${\omega }_{\hspace{0.17em}}^N$	${\beta }_{\hspace{0.17em}}^N$	${\alpha }_{\hspace{0.17em}}^N$
(China, Turkey)	0.057**	0.046***	1.244***	0.020	0.087	1.824	0.125**	0.022	0.083
	(2.144)	(−21.245)	(−16.540)	(1.275)	(11.167)	(11.647)	(2.021)	(1.115)	(0.754)
(China, United States)	0.088***	0.021***	1.180	1.170**	−0.345***	−1.809	0.188	−0.961	0.597
	(−2.235)	(2.147)	(1.597)	(2.125)	(2.647)	(0.479)	(1.264)	(0.187)	(1.256)
(China, Argentina)	0.317	−0.041	−1.789	0.305***	0.269	−0.081	0.296	0.467*	−1.550
	(1.326)	(1.236)	(1.475)	(2.426)	(0.769)	(0.354)	(1.264)	(1.749)	(0.254)

***, **and *denote statistical significance at the 1%, 5% and 10% levels respectively.

Table 8. Mean of lower and upper tail dependence coefficients of time-varying SJC copula for each subperiod

	Calm Period		COVID-19 period				Vaccination period
Pairs	${\bar{\tau }}_{SJC}^L$	${\bar{\tau }}_{SJC}^U$	${\bar{\tau }}_{SJC}^L$	${\bar{\tau }}_{SJC}^U$	$\mathrm{\Delta }{\bar{\tau }}_{SJC}^L$	$\mathrm{\Delta }{\bar{\tau }}_{SJC}^U$	${\bar{\tau }}_{SJC}^L$	${\bar{\tau }}_{SJC}^U$	$\mathrm{\Delta }{\bar{\tau }}_{SJC}^L$	$\mathrm{\Delta }{\bar{\tau }}_{SJC}^U$
Panel 1: Asian Countries
(China, South Korea)	0.204	0.044	0.397	0.217	0.193	0.173	0.326	0.097	−0.071	−0.120
(China, Japan)	0.158	0.014	0.316	0.128	0.158	0.114	0.224	0.122	−0.092	−0.006
(China, India)	0.071	0.017	0.354	0.049	0.283	0.032	0.111	0.010	−0.243	−0.039
(China, Indonesia)	0.088	0.002	0.315	0.003	0.227	0.001	0.146	0.002	−0.169	−0.001
(China, Russia)	0.028	0.022	0.073	0.000	0.022	0.000	0.037	0.000	−0.036	0.000
(China, Saudi Arabia)	0.100	0.099	0.184	0.038	0.098	0.001	0.028	0.031	−0.156	−0.007
Panel 2: European Countries
(China, Germany)	0.056	0.018	0.168	0.059	0.112	0.041	0.007	0.019	−0.161	−0.040
(China, Italy)	0.216	0.025	0.277	0.026	0.061	0.001	0.002	0.002	−0.275	−0.024
(China, United Kingdom)	0.082	0.025	0.169	0.067	0.087	0.042	0.006	0.063	−0.163	−0.004
(China, France)	0.057	0.018	0.152	0.087	0.095	0.069	0.000	0.022	−0.152	−0.065
(China, Spain)	0.051	0.006	0.126	0.033	0.075	0.027	0.000	0.004	−0.126	−0.029
Panel 3: American Countries
(China, Canada)	0.029	0.021	0.178	0.026	0.149	0.005	0.004	0.016	−0.117	−0.010
(China, Mexico)	0.029	0.012	0.070	0.102	0.041	0.090	0.001	0.028	−0.069	−0.074
(China, Brazil)	0.004	0.004	0.124	0.022	0.120	0.018	0.022	0.000	−0.102	−0.022
Panel 4: Oceania Countries
(China, Australia)	0.034	0.009	0.310	0.009	0.276	0.000	0.155	0.088	−0.155	−0.188
Panel 5: African Countries
(China, South Africa)	0.101	0.100	0.310	0.117	0.209	0.007	0.126	0.113	−0.184	−0.004