Stock Market Contagion of COVID-19 in Emerging Economies
8 Pages Posted: 14 Apr 2020 Last revised: 22 Feb 2022
Date Written: April 10, 2020
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: Suggested Citation