Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries

This study extends extant discussions on regional integration by exploring risk spillovers between news-based panic sentiment and stock market volatility among Regional Comprehensive Economic Partnership (RCEP) members during the COVID-19 pandemic. We innovatively estimate quantile-based spillover indices in both time and frequency domains and construct the multi-layer network. Both static and dynamic risk spillover patterns in the "RCEP panic-stock network" are outlined. It is found that risk spillovers are predominantly transmitted from the "panic-layer network" towards the "volatility-layer network". Besides, regression analyses are employed to investigate whether general features of COVID-19 media reporting affect the spillovers of panic sentiment at the country level. The results show that the magnitude of panic spillovers tend to be positively associated with overall media coverage and negatively with overall media sentiment, especially at the middle and lower quantiles.