The Risk of Stock Price Volatility and Its Structural Association in the Spread of COVID-19

doi:10.16716/j.cnki.65-1030/f.2021.06.002

Abstract

Abstract: The spread of novel coronavirus pneumonia may exacerbate cross market cross infection and superposition resonance effect of global stock price volatility. The article selects stock index data of twelve stock markets in eleven countries from July 11, 2019 to July 10, 2020, and constructs a global stock market volatility spillover index, risk spillover network and structural correlation matrix based on rolling VAR model in order to explore the time-varying spillover dynamics and spatial transmission paths of the risk of stock price fluctuations in the spread of the corona virus. The study found that novel coronavirus pneumonia outbreak, the degree of correlation of stock market volatility increased significantly, and the Risk Spillover level of global stock market rose significantly. The global spread of the epidemic has not only enhanced the intensity of Risk Spillover in the region, but also improved the level of cross Market Risk Spillover in Europe and the United States. This means that while accumulating policy experience in major epidemic risk prevention and control, policy authorities should also pay attention to strengthening the construction of public health emergency management system, reduce the cross market cross infection and superposition resonance of stock price fluctuation risk in the spread of the epidemic, and alleviate the adverse impact of major public health emergencies on the financial market; We should strictly control the risk spillovers from European and American markets and the risk resonance in Asian markets, and pay attention to preventing the imported financial risks from Hong Kong to mainland China's capital market.

Key words: COVID-19, Stock Price Volatility, Risk Spillover, Structural Correlation, Public Health Emergencies, Financial Risk

CLC Number:

F831.5

Shi Zhenyu, An Bang. The Risk of Stock Price Volatility and Its Structural Association in the Spread of COVID-19[J]. Finance & Economics of Xinjiang, 2021, (6): 13-25.

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