Co-movement dynamics of US and Chinese stock market: evidence from COVID-19 crisis

References

• Aamir, M., & Ali Shah, S. Z. (2018). Determinants of stock market co-movements between Pakistan and Asian emerging economies. Journal of Risk and Financial Management, 11(3), 32.
   Google Scholar
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10(4), 742–758. https://doi.org/10.1093/rapstu/raaa008
   Web of Science ®Google Scholar
• Caballero, R., & Simsek, A. (2020). Asset prices and aggregate demand in a “Covid-19” shock: A model of endogenous risk intolerance and LSAPS.
   Google Scholar
• Caferra, R., & Vidal-Tomás, D. (2021). Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic. Finance Research Letters, 101954.
   Google Scholar
• Costa, D. F., Carvalho, F. D. M., & Moreira, B. C. D. M. (2019). Behavioral economics and behavioral finance: a bibliometric analysis of the scientific fields. Journal of Economic Surveys, 33(1), 3–24.
   Google Scholar
• Dhanaraj, S., Gopalaswamy, A. K., & Babu M. S. (2013). Dynamic interdependence between US and Asian markets: An empirical study. Journal of Financial Economic Policy, 5(2), 220–237. https://doi.org/10.1108/17576381311329670
   Google Scholar
• Fareed, Z., Iqbal, N., Shahzad, F., Shah, S. G. M., Zulfiqar, B., Shahzad, K., Hashmi, S. H., & Shahzad, U. (2020). Co-variance nexus between COVID-19 mortality, humidity, and air quality index in Wuhan, China: New insights from partial and multiple wavelet coherence. Air Quality, Atmosphere & Health, 13(6), 673–682. https://doi.org/10.1007/s11869-020-00847-1
   PubMed Web of Science ®Google Scholar
• Graham, M., & Nikkinen, J. (2011). Co-movement of the Finnish and international stock markets: A wavelet analysis. The European Journal of Finance, 17(5–6), 409–425. https://doi.org/10.1080/1351847X.2010.543839
   Web of Science ®Google Scholar
• Gupta, R., & Guidi, F. (2012). Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets. International Review of Financial Analysis, 21, 10–22. https://doi.org/10.1016/j.irfa.2011.09.001
   Web of Science ®Google Scholar
• Habiba, U. E., Peilong, S., Zhang, W., & Hamid, K. (2020). International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: Evidence from Global financial crisis. Journal of Asia Business Studies, 14(5), 779–794. https://doi.org/10.1108/JABS-03-2019-0071
   Web of Science ®Google Scholar
• Hassan, A., Elamer, A. A., Lodh, S., Roberts, L., & Nandy, M. (2021). The future of non‐financial businesses reporting: Learning from the Covid‐19 pandemic. Corporate Social Responsibility and Environmental Management, 28(4), 1231–1240. https://doi.org/10.1002/csr.2145
   PubMed Web of Science ®Google Scholar
• Hoq, M. E. (2020). Co-integration approach: Relationship between Asia-Pacific and USA stock markets during the financial crisis of 2008? An empirical study. AIUB Journal of Business and Economics, 17(1), 109–128.
   Google Scholar
• Huang, Y., Lin, C., Wang, P., & Xu, Z. (2020). Saving China from the coronavirus and economic meltdown: Experiences and lessons. Available at SSRN 3570696. https://dx.doi.org/10.2139/ssrn.3570696, https://ssrn.com/abstract=3570696
   Google Scholar
• Johansen, S., & Juselius, K. (2009). Maximum likelihood estimation and inference on cointegration—With appucations to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
   Web of Science ®Google Scholar
• Jordà, Ò., Singh, S. R., & Taylor, A. M. (2020). Longer-run economic consequences of pandemics. National Bureau of Economic Research.
   Google Scholar
• Kartal, M. T., Depren, Ö., & Depren, S. K. (2021). The relationship between mobility and COVID-19 pandemic: Daily evidence from an emerging country by causality analysis. Transportation Research Interdisciplinary Perspectives, 10, 100366.
   Google Scholar
• Kim, D.-H., Lu, N., Ma, R., Kim, Y.-S., Kim, R.-H., Wang, S., Wu, J., Won, S. M., Tao, H., Islam, A., Yu, K. J., Kim, T.-I., Chowdhury, R., Ying, M., Xu, L., Li, M., Chung, H.-J., Keum, H., McCormick, M., … Rogers, J. A. (2011). Epidermal electronics. Science (New York, N.Y.), 333(6044), 838–843. https://doi.org/10.1126/science.1206157
   PubMed Web of Science ®Google Scholar
• Krueger, D., Uhlig, H., & Xie, T. (2020). Macroeconomic dynamics and reallocation in an epidemic. National Bureau of Economic Research.
   Google Scholar
• Lai, Y., & Tseng, J.-C. (2010). The role of Chinese stock market in global stock markets: A safe haven or a hedge? International Review of Economics & Finance, 19(2), 211–218. https://doi.org/10.1016/j.iref.2009.10.004
   Web of Science ®Google Scholar
• Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155–177. https://doi.org/10.1002/ijfe.1506
   Web of Science ®Google Scholar
• Ludvigson, S. C., Ma, S., & Ng, S. (2020). Covid19 and the macroeconomic effects of costly disasters. NBER Working Paper, w26987. National Bureau of Economic Research, USA.
   Google Scholar
• Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38, 101690. https://doi.org/10.1016/j.frl.2020.101690
   PubMed Web of Science ®Google Scholar
• Mirza, N., Hasnaoui, J. A., Naqvi, B., & Rizvi, S. K. A. (2020). The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak. Swiss Journal of Economics and Statistics, 156(1), 1–7. https://doi.org/10.1186/s41937-020-00066-6
   Google Scholar
• Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. A. (2020). Price reaction, volatility timing and funds' performance during Covid-19. Finance Research Letters, 36, 101657. https://doi.org/10.1016/j.frl.2020.101657
   PubMed Web of Science ®Google Scholar
• Mobarek, A. (2013). Global stock market integration and the determinants of co-movements: Evidence from developed and emerging countries. NASDAQ OMX Foundation.
   Google Scholar
• Mobarek, A., Muradoglu, G., Mollah, S., & Hou, A. J. (2016). Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. Journal of Financial Stability, 24, 1–11.
   Google Scholar
• Mylonidis, N., & Kollias, C. (2010). Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade. Journal of Banking & Finance, 34(9), 2056–2064. https://doi.org/10.1016/j.jbankfin.2010.01.012
   Web of Science ®Google Scholar
• Narayan, P. K., Devpura, N., & Wang, H. (2020). Japanese currency and stock market-What happened during the COVID-19 pandemic? Economic Analysis and Policy, 68, 191–198. https://doi.org/10.1016/j.eap.2020.09.014
   PubMed Web of Science ®Google Scholar
• Nonejad, N. (2020). Crude oil price volatility and equity return predictability: A comparative out-of-sample study. International Review of Financial Analysis, 71, 101521. https://doi.org/10.1016/j.irfa.2020.101521
   Web of Science ®Google Scholar
• Paramati, S. R., Roca, E., & Gupta, R. (2016). Economic integration and stock market dynamic linkages: Evidence in the context of Australia and Asia. Applied Economics, 48(44), 4210–4226. https://doi.org/10.1080/00036846.2016.1153794
   Web of Science ®Google Scholar
• Rizvi, S. K. A., Mirza, N., Naqvi, B., & Rahat, B. (2020). Covid-19 and asset management in EU: A preliminary assessment of performance and investment styles. Journal of Asset Management, 21(4), 281–291. https://doi.org/10.1057/s41260-020-00172-3
   Web of Science ®Google Scholar
• Rizvi, S. K. A., Yarovaya, L., Mirza, N., & Naqvi, B. (2020). The impact of COVID-19 on valuations of non-financial European firms. Available at SSRN 3705462. http://doi.org/10.2139/ssrn.3705462
   Google Scholar
• Ru, H., Yang, E., & Zou, K. (2020). Combating the COVID-19 pandemic: The role of the SARS imprint. SSRN, 1, 1–32.
   Google Scholar
• Shahzad, S. J. H., Ferrer, R., Ballester, L., & Umar, Z. (2017). Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. International Review of Financial Analysis, 52, 9–26. https://doi.org/10.1016/j.irfa.2017.04.005
   Web of Science ®Google Scholar
• Solnik, B. & Longin, F. (2001). Extreme correlation of international equity markets. Journal of Finance, 56(2), 649–676.
   Google Scholar
• Su, C.-W., Cai, X.-Y., Qin, M., Tao, R., & Umar, M. (2021). Can bank credit withstand falling house price in China? International Review of Economics & Finance, 71, 257–267. https://doi.org/10.1016/j.iref.2020.09.013
   Web of Science ®Google Scholar
• Su, C.-W., Huang, S.-W., Qin, M., & Umar, M. (2021). Does crude oil price stimulate economic policy uncertainty in BRICS? Pacific-Basin Finance Journal, 66, 101519. https://doi.org/10.1016/j.pacfin.2021.101519
   Web of Science ®Google Scholar
• Su, C.-W., Qin, M., Tao, R., Shao, X.-F., Albu, L. L., & Umar, M. (2020). Can Bitcoin hedge the risks of geopolitical events? Technological Forecasting and Social Change, 159, 120182. https://doi.org/10.1016/j.techfore.2020.120182
   Web of Science ®Google Scholar
• Su, C.-W., Song, Y., & Umar, M. (2021). Financial aspects of marine economic growth: From the perspective of coastal provinces and regions in China. Ocean & Coastal Management, 204, 105550. https://doi.org/10.1016/j.ocecoaman.2021.105550
   Web of Science ®Google Scholar
• Su, C.-W., Sun, T., Ahmad, S., & Mirza, N. (2021). Does institutional quality and remittances inflow crowd-in private investment to avoid Dutch Disease? A case for emerging seven (E7) economies. Resources Policy, 72, 102111. https://doi.org/10.1016/j.resourpol.2021.102111
   Web of Science ®Google Scholar
• Sun, T.-T., Su, C.-W., Mirza, N., & Umar, M. (2021). How does trade policy uncertainty affect agriculture commodity prices? Pacific-Basin Finance Journal, 66, 101514. https://doi.org/10.1016/j.pacfin.2021.101514
   Web of Science ®Google Scholar
• Trimech, A., Kortas, H., Benammou, S., & Benammou, S. (2009). Multiscale Fama‐French model: Application to the French market. The Journal of Risk Finance, 10(2), 179–192. https://doi.org/10.1108/15265940910938251
   Google Scholar
• Umar, M., Ji, X., Kirikkaleli, D., & Xu, Q. (2020). COP21 Roadmap: Do innovation, financial development, and transportation infrastructure matter for environmental sustainability in China? Journal of Environmental Management, 271, 111026. https://doi.org/10.1016/j.jenvman.2020.111026
   PubMed Web of Science ®Google Scholar
• Umar, M., Ji, X., Mirza, N., & Naqvi, B. (2021). Carbon neutrality, bank lending, and credit risk: Evidence from the Eurozone. J Environ Manage, 296, 113156 https://doi.org/10.1016/j.jenvman.2021.113156
   PubMed Web of Science ®Google Scholar
• Umar, M., Mirza, N., Rizvi, S. K. A., & Furqan, M. (2021). Asymmetric volatility structure of equity returns: Evidence from an emerging market. The Quarterly Review of Economics and Finance, https://doi.org/10.1016/j.qref.2021.04.016
   Web of Science ®Google Scholar
• Umar, M., Rizvi, S. K. A., & Naqvi, B. (2021). Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system. Technological Forecasting and Social Change, 163, 120450. https://doi.org/10.1016/j.techfore.2020.120450
   Web of Science ®Google Scholar
• Umar, M., Su, C.-W., Rizvi, S. K. A., & Lobonţ, O.-R. (2021). Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices. Energy, 231, 120873. https://doi.org/10.1016/j.energy.2021.120873
   Web of Science ®Google Scholar
• Umar, M., Su, C.-W., Rizvi, S. K. A., & Shao, X.-F. (2021). Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US? Technological Forecasting and Social Change, 167, 120680. https://doi.org/10.1016/j.techfore.2021.120680
   Web of Science ®Google Scholar
• Urom, C., Guesmi, K., Abid, I., & Dagher, L. (2021). Dynamic integration and transmission channels among interest rates and oil price shocks. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2021.04.008
   Web of Science ®Google Scholar
• Vithessonthi, C., & Kumarasinghe, S. (2016). Financial development, international trade integration, and stock market integration: Evidence from Asia. Journal of Multinational Financial Management, 35, 79–92. https://doi.org/10.1016/j.mulfin.2016.03.001
   Web of Science ®Google Scholar
• Vo, X. V., & Tran, T. T. A. (2020). Modelling volatility spillovers from the US equity market to ASEAN stock markets. Pacific-Basin Finance Journal, 59, 101246. https://doi.org/10.1016/j.pacfin.2019.101246
   Web of Science ®Google Scholar
• Wang, K.-H., Umar, M., Akram, R., & Caglar, E. (2021). Is technological innovation making world “Greener”? An evidence from changing growth story of China. Technological Forecasting and Social Change, 165, 120516. https://doi.org/10.1016/j.techfore.2020.120516
   Web of Science ®Google Scholar
• Williamson, P. (2021). De-Globalisation and decoupling: Post-COVID-19 myths versus realities. Management and Organization Review, 17(1), 29–34.
   Google Scholar
• Yang, J., Kolari, J. W., & Min, I. (2003). Stock market integration and financial crises: The case of Asia. Applied Financial Economics, 13(7), 477–486. https://doi.org/10.1080/09603100210161965
   Google Scholar
• Yang, W., & Zhao, B. (2021). The transmission mechanism of china-japan economic co-movement and stabilizing measures for China’s economy. SAGE Open, 11(1), 215824402110013. https://doi.org/10.1177/21582440211001372
   Web of Science ®Google Scholar
• Yarovaya, L., Mirza, N., Rizvi, S. K. A., & Naqvi, B. (2020). COVID-19 Pandemic and Stress Testing the Eurozone Credit Portfolios. Available at SSRN 3705474. https://dx.doi.org/10.2139/ssrn.3705474, https://ssrn.com/abstract=3705474
   Google Scholar
• Yin, X., Lv, Y., Wen, R., Wang, Y., Chen, Q., & Kong, B. (2021). Characterization of selected Harbin red sausages on the basis of their flavour profiles using HS-SPME-GC/MS combined with electronic nose and electronic tongue. Meat Science, 172, 108345. https://doi.org/10.1016/j.meatsci.2020.108345
   PubMed Web of Science ®Google Scholar
• Younis, I., Longsheng, C., Basheer, M. F., & Joyo, A. S. (2020). Stock market comovements among Asian emerging economies: A wavelet-based approach. PLoS One, 15(10), e0240472. https://doi.org/10.1371/journal.pone.0240472
   PubMed Web of Science ®Google Scholar
• Youssef, M., Mokni, K., & Ajmi, A. N. (2021). Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: Does economic policy uncertainty matter? Financial Innovation, 7(1), 1–27. https://doi.org/10.1186/s40854-021-00227-3
   Web of Science ®Google Scholar