文章基本信息

标题：Volatility Spillover among Japanese Sectors in Response to COVID-19
本地全文：下载
作者：Hideto Shigemoto ; Takayuki Morimoto
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2022
卷号：15
期号：10
页码：1-21
DOI：10.3390/jrfm15100480
语种：English
出版社：MDPI, Open Access Journal
摘要：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.
关键词：COVID-19 pandemic;Japanese stock sectors;realized volatility;realized semivariance;volatility spillover