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Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach
| Content Provider | MDPI |
|---|---|
| Author | Alqaralleh, Huthaifa Canepa, Alessandra |
| Copyright Year | 2021 |
| Description | In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between stock market returns at higher frequencies with contagion, whereas changes at lower frequencies are associated with interdependence that relates to spillovers of shocks resulting from the normal interdependence between markets. An empirical analysis undertaken on six major stock markets reveals evidence of long-run interdependence between the markets under consideration before the start of the COVID-19 pandemic in December 2019. However, after the health crisis began, strong evidence of pure contagion among stock markets was detected. |
| Starting Page | 329 |
| e-ISSN | 19118074 |
| DOI | 10.3390/jrfm14070329 |
| Journal | Journal of Risk and Financial Management |
| Issue Number | 7 |
| Volume Number | 14 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2021-07-15 |
| Access Restriction | Open |
| Subject Keyword | Journal of Risk and Financial Management Mathematical Social Sciences Stock Market Contagion Covid-19 Pandemic Wavelet Decomposition Copula-garch Models |
| Content Type | Text |
| Resource Type | Article |
