Journal
FINANCE RESEARCH LETTERS
Volume 38, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101640
Keywords
Return; Volatility; Stock markets; Cross-correlation; Contagion
Categories
Funding
- Xiamen University project: Policy and institution of clean, low carban and substainable energy system [0610/ZK1108]
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This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets, confirming its presence but also noting that it diminishes over time, reducing its impact on stock market returns and volatility in the medium to long term.
This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets. The stock market information of the top 32 coronavirus affected economies (as of 31st March 2020) was sampled for ex-ante and ex-post COVID-19 outbreak analysis using the Detrended Moving Cross-Correlation Analysis (DMCA) and Detrended Cross-Correlation Analysis (DCCA) techniques. The results confirm a fractal contagion effect of the COVID-19 pandemic on the stock markets. Furthermore, this fractal contagion effect fizzles out over time (in the middle and long run) for both the stock markets return and volatility. Therefore, this article provides pieces of evidence for the COVID-19 fractal contagion effect on the stock markets.
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