Abstract: The outbreak of a major public health emergency will not only have an impact on the national economic operation system, but also will do so through the capital chain and be transmitted to the financial market, causing large fluctuations in the financial market. The outbreak of COVID-19 epidemic in 2020 caused production stagnation, severe market fluctuations, short-term economic downturn, and rising investor sentiment, which ultimately dealt a severe blow to the financial market. The gradual emergence of synchronous price changes among various sub-markets of the financial market will further trigger systemic financial risks. Therefore, how the financial market reacts to the impact of the COVID-19, whether there are spillover effects between financial markets, and exploring the sources of risks and transmission paths between financial markets under major public health emergencies are issues that need to be studied urgently. This paper constructs a spillover index model to systematically study the response of financial markets and the spillover effects between financial sub-markets under the impact of the COVID-19, and puts forward reasonable suggestions for this purpose. It is of great significance to systematically build a mechanism for responding to public health emergencies, prevent and resolve systemic financial risks, and maintain China's financial security.
This paper is based on the spillover index model of DIEBOLD and YILMAZ (2012, 2014) and describes the spillover effect between financial markets based on variance decomposition. This paper selects eight financial markets, including commodity market, gold market, real estate market, money market, stock market, fund market, foreign exchange market and bond market, as the research objects, and the sample period is from July 21, 2005 to June 30, 2022. The data comes from the Wind database. First, the impact of the COVID-19 on the financial market is analyzed through impulse response. Second, the intensity and scale of dynamic spillovers in the financial market are examined from the two levels of return rate and volatility using the spillover network analysis framework and rolling window method. Finally, the impact of the COVID-19 epidemic on the financial market spillover effect and the risk transmission path are examined through marginal net spillover effect analysis.
The results show that: First, the impact of the COVID-19 on the financial market is mainly short-term, and the impact of the epidemic on the financial market is limited. Second, in addition to the market's own factors, nearly 50% of changes in financial markets come from external shocks, and there are significant spillover effects between markets in the financial system. Among them, the stock market plays a dominant role in the financial market. Third, the volatility spillover in the financial market is higher than the return rate spillover, and the yield is relatively stable while the volatility is more volatile. This shows that the volatility spillover in the financial market is more sensitive than the yield spillover, and volatility has a stronger ability to transmit information between markets. Finally, the outbreak of the COVID-19 has exacerbated the contagion of systemic risks in the financial market, and the risk network between markets has become closer after the outbreak. However, with the effective control of the epidemic, the risk contagion effect has gradually weakened. Therefore, in order to prevent the spread of financial risks across markets, it is necessary to strengthen financial risk supervision, establish a financial risk prevention mechanism under sudden public health events, and maintain financial security.
This article focuses on the spillover effects between financial markets under the impact of the COVID-19. Future research can expand financial market analysis to multi-agent analysis such as energy, metal and carbon markets. The model in this paper only considers the changes in spillover effects between financial markets under normal market conditions and fails to account for extreme market shocks. Future research can expand the spillover effect analysis to the quantile spillover model to examine the spillover effects and investment portfolios under bearish, normal, and bullish market conditions.

Key words: COVID-19, financial markets, spillover effect, risk transmission

摘要： 重大突发公共卫生事件的发生,会给我国金融市场带来巨大冲击。本文基于2005年7月21日至2022年6月30日数据,实证分析商品市场、货币市场、基金市场、债券市场等8个金融市场子市场对新冠肺炎疫情冲击的脉冲响应。并采用溢出网络分析框架和滚动窗口方法,从收益率和波动率两个层面考察金融市场动态溢出的强度、规模及传导路径。结果发现:第一,金融系统中各市场之间具有显著的溢出效应,股票市场在金融市场中处于主导地位。第二,金融市场的波动率溢出要高于收益率溢出,且收益率溢出相对平稳,波动率溢出波动性较大。第三,新冠肺炎疫情爆发加剧了金融市场系统性风险传染,市场间风险网络在疫情发生后更加紧密。但随着疫情的有效控制,风险传染效应逐渐减弱。新冠肺炎疫情对金融市场的影响主要表现为短期影响。为防范金融风险跨市场传染,需要加强金融风险监管,构建突发性公共卫生事件下的金融风险防范机制,维护金融安全。

关键词: 新冠肺炎疫情, 金融市场, 溢出效应, 风险传导