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<p>This paper examines the impact of the 2008 subprime mortgage crisis and the 2020 COVID-19 crisis on the multiscale nature of systemic and market risk by examining daily return data for eight Asian stock indices from 2005 to 2020, divided into five periods: precrisis, crisis, recovery, post recovery, and COVID-19. The daily log returns data for stock market indices are decomposed using the maximal overlap discrete wavelet transform is used to decompose the daily log returns of the stock indices. This decomposition is then utilized and then used to estimate the linear CAPM (capital asset pricing model) beta and R<sup>2</sup> values using the US equity market as a benchmark. The findings show that beta and R<sup>2</sup> values tend to rise at larger scales and are regarded as high during crisis situations relative to other times (when the correlation is statistically insignificant). Multiscale betas confirm that investors’ trading techniques affect their time horizons. The variance decomposition study revealed that transitory variables influenced the financial contagion of the COVID-19 crisis.</p>

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From Global Financial Crisis to COVID-19: The Changing Multiscale Systematic Risks in Asian Stock Markets

  • 期刊论文

  • 发表日期：

    2025年4月17日

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  • Aswini Kumar Mishra,
  • Mihir Dinesh Mahajan,
  • Bibhu Prasad Kar,
  • K Kamesh Anand

摘要

This paper examines the impact of the 2008 subprime mortgage crisis and the 2020 COVID-19 crisis on the multiscale nature of systemic and market risk by examining daily return data for eight Asian stock indices from 2005 to 2020, divided into five periods: precrisis, crisis, recovery, post recovery, and COVID-19. The daily log returns data for stock market indices are decomposed using the maximal overlap discrete wavelet transform is used to decompose the daily log returns of the stock indices. This decomposition is then utilized and then used to estimate the linear CAPM (capital asset pricing model) beta and R2 values using the US equity market as a benchmark. The findings show that beta and R2 values tend to rise at larger scales and are regarded as high during crisis situations relative to other times (when the correlation is statistically insignificant). Multiscale betas confirm that investors’ trading techniques affect their time horizons. The variance decomposition study revealed that transitory variables influenced the financial contagion of the COVID-19 crisis.