Purpose: This paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves. Design/methodology/approach: This study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death...

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...