期刊
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
卷 14, 期 7, 页码 -出版社
MDPI
DOI: 10.3390/jrfm14070329
关键词
stock market contagion; COVID-19 pandemic; wavelet decomposition; copula-GARCH models
The study found long-run interdependence between six major stock markets before the outbreak of the COVID-19 pandemic, but strong evidence of pure contagion was detected during the crisis. By distinguishing changes in correlations at different frequencies, we were able to differentiate between regular interdependence and pure contagion.
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据