Learning from SARS: Return and Volatility Connectedness in COVID-19

Posted: 28 Jun 2021

See all articles by Banita Bissoondoyal-Bheenick

Banita Bissoondoyal-Bheenick

RMIT University, Australia

Hung Xuan Do

Massey University, Albany campus; University of Technology, Sydney

Xiaolu Hu

RMIT University - School of Economics, Finance and Marketing

Angel Zhong

RMIT University - School of Economics, Finance and Marketing

Date Written: June 7, 2021

Abstract

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of COVID-19 severity and controlling for a number of cross-country differences in economic development.

Keywords: COVID-19; SARS 2003; Spillover; Volatility connectedness; Return connectedness

JEL Classification: G13

Suggested Citation

Bissoondoyal-Bheenick, Banita and Do, Hung Xuan and Hu, Xiaolu and Zhong, Angel, Learning from SARS: Return and Volatility Connectedness in COVID-19 (June 7, 2021). Finance Research Letters, Vol. 41, 2021, Available at SSRN: https://ssrn.com/abstract=3861400

Banita Bissoondoyal-Bheenick (Contact Author)

RMIT University, Australia ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Hung Xuan Do

Massey University, Albany campus ( email )

Auckland
New Zealand
+64 92136160 (Phone)
+64 92136160 (Fax)

HOME PAGE: http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

University of Technology, Sydney ( email )

PO Box 123
Broadway, 2007
Australia

Xiaolu Hu

RMIT University - School of Economics, Finance and Marketing ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Angel Zhong

RMIT University - School of Economics, Finance and Marketing ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

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