Volatility Spillover among Japanese Sectors in Response to COVID-19
Volatility Spillover among Japanese Sectors in Response to COVID-19
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DOI：
10.3390/jrfm15100480
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发表时间：
2022-10
影响因子：
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通讯作者：
Hideto Shigemoto;Takayuki Morimoto
中科院分区：
文献类型：
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作者：
Hideto Shigemoto;Takayuki Morimoto
本研究阐明了风险如何在经济部门之间传播，并指出了受影响最大的部门，以帮助投资者进行资产配置并支持他们进行风险管理。虽然日本股市是全球规模较大的股票市场之一，但尚未有研究探讨其行业之间的波动溢出效应。本文利用向量自回归模型的预测误差方差分解，研究了东京证券交易所行业间的波动溢出效应。我们的研究结果表明，在2019年冠状病毒病（COVID-19前）之前的几年（2014年至2019年）和2019年COVID-19期间（2020年），日本股市各行业的波动溢出模式有所不同。虽然能源资源和银行部门在COVID-19前期是风险接受者，但在COVID-19期间，这些部门是风险传播者。我们还发现，日本股市的波动溢出效应主要由负已实现半方差驱动。这些结果对资产配置和风险管理具有指导意义。
This study clarifies how risks spread across economic sectors and indicates the sectors that are the most affected to help investors with asset allocation and to support them in risk management. Although the Japanese stock market is one of the relatively large global stock markets, no studies have explored volatility spillovers among its sectors. Using the forecast error variance decomposition of the vector autoregressive model, this study examines the volatility spillovers among sectors classified on the Tokyo Stock Exchange. Our findings show that the pattern of volatility spillovers across sectors in the Japanese stock market differs between a few years preceding the coronavirus disease 2019 (pre-COVID-19), from 2014 to 2019, and during the COVID-19 period, in 2020. Although the energy resources and bank sectors are risk receivers in the pre-COVID-19 period, these sectors are risk transmitters during the COVID-19 period. We also find that volatility spillovers in the Japanese stock market are mainly driven by negative realized semivariance. These results are useful for asset allocation and risk management.