Learning from SARS: Return and volatility connectedness in COVID-19

Emawtee Bissoondoyal-Bheenick, Hung Do, Xiaolu Hu and Angel Zhong

Finance Research Letters, 2021, vol. 41, issue C

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 (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s154461232031610x

DOI: 10.1016/j.frl.2020.101796

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