Global Equity Market Co-Movement During Crisis Periods

31 Pages Posted: 22 Feb 2021

See all articles by Thomas Heil

Thomas Heil

Zeppelin Universität

Franziska J. Peter

Zeppelin University

Philipp Prange

Zeppelin University

Date Written: February 20, 2021

Abstract

We analyze global equity market co-movement during the last 25 years using a dynamic spatial model. Based on a generalized autoregressive score model, we analyze the co-movement among global, European, American, and Asian equity markets during various crises including the Asian, the financial, the European sovereign debt crisis, as well as the economic turmoil due to the current COVID-19 pandemic. Our results show an increase in the co-movement prior to the onset of the global financial crisis in 2008, a generally higher co-movement among European countries compared to American and Asian-Pacific countries, while the highest level of co-movement is reached during the current pandemic. When accounting for time-varying variances, however, we find evidence for global contagion only during the COVID-19 pandemic which induces an economic downturn in the first quarter of 2020.

Keywords: Co-movement; Contagion; Stock markets; Crisis ; Volatility; COVID- 9; GAS

JEL Classification: C21, G01, G15

Suggested Citation

Heil, Thomas and Peter, Franziska and Prange, Philipp, Global Equity Market Co-Movement During Crisis Periods (February 20, 2021). Available at SSRN: https://ssrn.com/abstract=3789513 or http://dx.doi.org/10.2139/ssrn.3789513

Thomas Heil

Zeppelin Universität ( email )

Am Seemooser Horn 20
DE-88045 Friedrichshafen
Germany

Franziska Peter (Contact Author)

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

Philipp Prange

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
26
Abstract Views
112
PlumX Metrics