Risk spillovers between China and other BRICS countries during COVID-19 pandemic: A CoVaR-copula approach

This paper aims to assess risk spillover effect between China and other BRICS countries by CoVaR-copula method. We analyse the result of ΔCoVaR in two sub-periods–year 2019 and COVID-19 period. Data for stock prices of major stock market in each country are used. Our results show that risk spillover...

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Veröffentlicht in:	Journal of physics. Conference series 2021-07, Vol.1978 (1), p.12043
Hauptverfasser:	Cheng, Yangnan, Liu, Jianxu, Sriboonchitta, Songsak
Format:	Artikel
Sprache:	eng
Schlagworte:	Coronaviruses COVID-19 Pandemics Pricing Securities markets Stock exchanges
Online-Zugang:	Volltext
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