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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic

Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12

In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...

Persistent link: https://www.econbiz.de/10013256277

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

Energy Contagion in the COVID-19 Crisis

Heinlein, Reinhold - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012831660

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent economics & finance 11 (2023) 1, pp. 1-28

This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...

Persistent link: https://www.econbiz.de/10014500850

Dynamic causality analysis of COVID-19 pandemic risk and oil market changes

So, Mike Ka-pui; Chan, Jacky N. L.; Chu, Amanda M. Y. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-11

Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post …

Persistent link: https://www.econbiz.de/10013273581

Global Value Chains and U.S. Economic Activity During Covid-19

LaBelle, Jesse; Leibovici, Fernando; Santacreu, Ana Maria - 2021

We investigate the role of global value chains in the declines of manufacturing employment and output in the U.S. during COVID-19. Specifically, we identify the role of global value chains by exploiting heterogeneity across industries in cross-country sourcing patterns and its interaction with...

Persistent link: https://www.econbiz.de/10013219613

Divided We Fall : International Health and Trade Coordination During a Pandemic

Acharya, Viral V.; Jiang, Zhengyang; Richmond, Robert; … - 2021

We analyse the role of international trade and health coordination in times of a pandemic by building a two-economy, two-good trade model integrated into a micro-founded SIR model of infection dynamics. Uncoordinated governments with national mandates can adopt (i) containment policies to...

Persistent link: https://www.econbiz.de/10013245207

Daily Tracker of Global Economic Activity : A Close-Up of the Covid-19 Pandemic

Diaz, Elena Maria; Quirós, Gabriel Pérez - 2021

This paper develops a novel indicator of global economic activity, the GEA Tracker, which is based on commodity prices selected recursively through a genetic algorithm. The GEA Tracker allows for daily real-time knowledge of international business conditions using a minimum amount of...

Persistent link: https://www.econbiz.de/10013314795

Viral shocks to the world economy

Cholodilin, Konstantin Arkadʹevič; Rieth, Malte - 2020

We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using … structural vector autoregressions. Epidemic shocks have persistently negative effects, both directly and indirectly, on affected … countries and on world output. The shocks lead to a signiﬁcant fall in global trade, employment, and consumer prices for three …

Persistent link: https://www.econbiz.de/10012197902

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