We consider the impact of the Covid19 Pandemic on major stock-markets. We first apply a structural break testing procedure in order to identify the date of initial impact. We then estimate the magnitude of the impact using an extended form of the GARCHX model. The overall impact is decomposed...

This study investigates the comovement across China, Hong Kong, and U.S. stock markets with the dynamic conditional correlation (DCC) model proposed in Engle (2002). This study answers three questions. First, will the policies of the Qualified Foreign Institutional Investors system (QFII) and...

This paper investigates various aspects of asymmetric connectedness among the stock markets in China, Japan, and Korea. Based on the realized semi-volatility indices, we find that the impact of bad volatility strictly dominates good volatility in generating transmission across the Northeast...