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The news effect of COVID-19 on global financial market volatility

Haldar, Anasuya; Sethi, Narayan - In: Bulletin of monetary economics and banking 24 (2021), pp. 33-58

Persistent link: https://www.econbiz.de/10012583996

The contagion between stock markets : evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

Le Thi Minh Huong - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 78-94

Persistent link: https://www.econbiz.de/10014511849

The contagion of fake news concern and extreme stock market risks during the COVID-19 period

Hong, Yun; Qu, Bo; Yang, Zhuohang; Jiang, Yanhui - In: Finance research letters 58 (2023) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014581387

Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach

Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

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...

Persistent link: https://www.econbiz.de/10012626221

COVID-19 Pandemic and Stock Market Contagion : A Wavelet-Copula GARCH Approach

Alqaralleh, Huthaifa - 2020

In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence...

Persistent link: https://www.econbiz.de/10012830722