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Title: | Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach |
Authors: | Alqaralleh, H Canepa, A |
Keywords: | stock market contagion;COVID-19 pandemic;wavelet decomposition;copula-GARCH models |
Issue Date: | 15-Jul-2021 |
Publisher: | MDPI AG |
Citation: | Alqaralleh, H. and Canepa, A. (2021) ‘Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach’, Journal of Risk and Financial Management, 14 (7), 329, pp. 1-18. doi: 10.3390/jrfm14070329. |
Abstract: | Copyright: © 2021 by the authors. 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.</jats:p> |
URI: | https://bura.brunel.ac.uk/handle/2438/23524 |
DOI: | https://doi.org/10.3390/jrfm14070329 |
Other Identifiers: | 329 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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