| In early 2020,COVID-19 erupted and the global economy suffered a major shock,with dramatic volatility in the stock markets.The rise or fall of share prices not only affects the financial markets of your own country,but also triggers changes in the capital markets of other countries.As economic and trade powerhouses in East Asia,China,Japan and Korea have frequent financial market interactions and share index movements tend to be synchronised.Therefore,in order to maintain financial market stability and reduce investors’ investment risks,it is important to study the co-movement between the stock markets of China,Japan and Korea under the influence of COVID-19.The daily closing price data of the Shanghai Composite Index,Nikkei 225 Index and Korea Composite Index from January 1,2017 to May 1,2022 are selected,and the sample data are divided into two stages,before and after the occurrence of COVID-19,using the time of COVID-19 as the cut-off point,for a comparative analysis of the co-movement between the stock markets of China,Japan and Korea.In the empirical part,the extent and direction of changes in the co-movement of the three countries’ stock markets before and after COVID-19 are first explored based on VAR model,Granger causality test,impulse response function and variance decomposition;then LB test and ARCH test are conducted on the three major stock indices respectively,and GARCH model is established after the results are obtained,and then DCC-GARCH model is constructed to analyse the changes in the co-movement of the three countries’ stock markets from the perspective of volatility spillover effects.This paper draws the following conclusions.First,after COVID-19,the risk transmission path between Chinese and Japanese stock markets changed from one-way transmission from Japan to China to one-way transmission from China to Japan,and the mutual influence became weaker;the risk transmission path between Chinese and Korean stock markets changed from one-way transmission from Korea to China to no significant transmission relationship,but the impact of Chinese stock markets on Korean stock markets became longer in duration;the risk transmission path between Japanese and Korean stock markets changed from one-way transmission from Korea to Japan to two-way transmission,and the mutual influence became stronger.Secondly,in the full sample study,the co-movement between the Japanese and Korean stock markets is the strongest,followed by the Chinese and Korean stock markets,and the Chinese and Japanese stock markets is the weakest.In the phased study,the co-movement between the Chinese and Korean stock markets and the Japanese and Korean stock markets is enhanced by COVID-19.Finally,based on the findings of the study,corresponding recommendations are made from the perspective of the government and investors. |
