Stock Market Contagion of COVID-19 in Emerging Economies

Posted: 14 Apr 2020

See all articles by Gazi Salah Uddin

Gazi Salah Uddin

Linkoping University - Department of Management and Engineering Division

Muhammad Yahya

University of Stavanger - Department of Industrial Economics, Risk Management and Planning

Gour Gobinda Goswami

North South University, Dhaka, Bangladesh; North South University

Ali Ahmed

Linkoping University - Department of Management and Engineering Division

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Date Written: April 10, 2020

Abstract

The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with the global financial market by using the time-varying dependence approach in a time-frequency space under COVID-19. Our findings indicate a strong, positive dependence among the investigated markets’ due to the outbreak of COVID-19. In addition, we report an increased tendency of co-movements over the higher horizon which is documented by COVID-19. These findings are of significant interest for market participants, policymakers, and international investors.

Keywords: COVID-19; Financial Market; Emerging Markets; China; Copula; Cross-quantilograms

JEL Classification: F15, F32, G1, G15

Suggested Citation

Uddin, Gazi Salah and Yahya, Muhammad and Goswami, Gour Gobinda and Ahmed, Ali and Lucey, Brian M., Stock Market Contagion of COVID-19 in Emerging Economies (April 10, 2020). Available at SSRN: https://ssrn.com/abstract=3573333

Gazi Salah Uddin

Linkoping University - Department of Management and Engineering Division ( email )

Linköping, 581 83
Sweden

Muhammad Yahya (Contact Author)

University of Stavanger - Department of Industrial Economics, Risk Management and Planning ( email )

Stavanger
Norway

Gour Gobinda Goswami

North South University, Dhaka, Bangladesh ( email )

Plot 15, Block B, Bashundhara
Dhaka, 1229
Bangladesh
88255668200 (Phone)
880255668202 (Fax)

HOME PAGE: http://www.northsouth.edu/faculty-members/sbe/economics/grg.html

North South University ( email )

Plot 15, Block B, Bashundhara
North South University
Dhaka, 1229
Bangladesh
88255668200 (Phone)
1229 (Fax)

HOME PAGE: http://www.northsouth.edu/faculty-members/sbe/economics/grg.html

Ali Ahmed

Linkoping University - Department of Management and Engineering Division ( email )

Linköping, 581 83
Sweden

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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