Impacts of the COVID-19 pandemic on financial market connectedness

Mike K.P. So, Amanda M.Y. Chu and Thomas W.C. Chan

Finance Research Letters, 2021, vol. 38, issue C

Abstract: In this paper, we study the impacts of the COVID-19 pandemic on the connectedness of the Hong Kong financial market. We construct dynamic financial networks based on correlations and partial correlations of stock returns to assess the impacts of COVID-19 and to compare the impacts in the previous financial crises in the past 15 years. Compared to other crises where the network density and clustering can be explained by co-movement with market indices as in normal periods, both network density and clustering are higher in the partial correlation networks during the COVID-19 outbreak.

Keywords: Coronavirus; Financial contagion; Pandemic risk; Network analysis; Systemic risk (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316780

DOI: 10.1016/j.frl.2020.101864

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