ArticleFinance research letters2022
International stock market risk contagion during the COVID-19 pandemic.
Article in Finance research letters, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 15 papers.
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Who cites it
15 citing papers in PubMed.
- Signed Connectedness Among Cryptocurrencies, NFTs, and Foreign Exchange Markets.Entropy (Basel, Switzerland) · 2026Article
- COVID-19's influence on Karachi stock exchange: A comparative machine learning algorithms study for forecasting.Heliyon · 2024Article
- Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market.PloS one · 2024Article
- Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic.Evaluation review · 2023Review
- The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model.Entropy (Basel, Switzerland) · 2023Article
- Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?Journal of financial stability · 2023Article
- Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality.Financial innovation · 2023Article
- Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic.Journal of economic asymmetries · 2022Article
- Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?Annals of data science · 2022Article
- Changes in social behavior and impacts of the COVID-19 pandemic on regional housing markets: Independence and risk.Journal of behavioral and experimental finance · 2022Article
- Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China.Resources policy · 2022Article
- Corporate social performance and firm debt levels: Impacts of the covid-19 pandemic and institutional environments.Finance research letters · 2022Article
- Article
- Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic.Annals of operations research · 2022Article
- Time-frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic.Financial innovation · 2022Article
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4 authors.
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No grant is acknowledged in the PubMed record.
Abstract
This paper examines the risk contagion among international stock markets during the COVID-19 pandemic by using the realized volatility information from sixteen major stock markets in the world. The empirical evidence based on the connectedness methods of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) shows that the COVID-19 epidemic significantly increases the risk contagion effects in international stock markets. Besides, the risk spillovers from stock markets in European and American regions increase rapidly but those in Asian markets decrease obviously after the outbreak of COVID-19 pandemic. Finally, the risk contagion among international stock markets caused by the pandemic can last for about 6 to 8 months. These results provide important implications regarding to financial risk management and macroprudential design.
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