Journal
FINANCE RESEARCH LETTERS
Volume 45, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2021.102150
Keywords
Financial; contagion Comoment contagion tests
Categories
Funding
- ARC Discovery Project [DP200101963]
- Macau SAR Government Higher Education Fund [HSS-MUST-2020-11]
- Australian Research Council [DP200101963] Funding Source: Australian Research Council
Ask authors/readers for more resources
The study reveals evidence of contagion in global equity markets during the COVID-19 pandemic, particularly after the official announcement. This suggests potential implications for portfolio diversification, risk management, and financial stability.
We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available