At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a “flight to safety” were present during the period analysed. The volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress. We provide a number of observations as to why this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new financial product within mainstream portfolio design through the diversification benefits provided.We specifically investigate the contagion effects associated with the onset of the COVID-2019 pandemic between Chinese stock markets, identified as the epicentre of the first registered cases as outlined in the timetable presented in Table 1. We utilise these events to generate dummy variables through which we analyse the contagion effects centred in the price volatility of both the Shanghai and Shenzhen Stock Exchanges
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