Prof. Yongmin Zhang
School of Business and Research Academy of Belt & Road, Ningbo University
Speech title：COVID-19’s Impact on the Spillover Effect Across the Chinese and U.S. Stock Markets
Prof. Yongmin Zhang is Anzhong Chair Professor in Applied Economics and Qianjiang Distinguished Professor in Finance, Deputy Dean of Research Academy of Belt & Road at Ningbo University. Prior to his appointment, Prof. Zhang was Chair Professor in Finance, and Director of Center for Global Finance at Nottingham University from 2011 to 2018. He was a risk management consultant in Wells Fargo and a lead research analyst in J. P. Morgan from 2007 to 2010. He also taught at University of Chicago and State University of New York for 17 years. He has authored about 80 papers. He obtained his Ph.D. from University of Chicago in 1997. His research areas include derivative pricing, liquidity in financial markets, real options, fin-tech, supply chain finance, and financial mathematics.
This paper investigates the cross-market spillover effect between the Chinese and U.S. stock index returns, and the markets’ volatility from the impact of COVID-19’s spread in China. The results reveal that there was an asymmetric transmission of return shocks to a stronger degree from the Chinese stock market to the U.S. market rather than from the opposite direction, and this asymmetric spillover effect during the COVID-19 spread period in China was three to five times stronger than during the pre-COVID-19 period and the period when COVID-19 was contained in China. The study has important implications for regulators’ supervision of financial markets during a global crisis, and for investors’ cross-market hedging of spillover risks from a systematic shock.
Keywords: COVID-19, cross-market spillover effect, Chinese and U.S. stock indexes