The international spread of COVID-19 stock market collapses

Silvio Contessi and Pierangelo De Pace

Finance Research Letters, 2021, vol. 42, issue C

Abstract: We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the first wave of the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market to all other markets. The recovery is heterogeneous and generally non-explosive.

Keywords: Mildly explosive behavior; Stock market crashes; COVID-19 (search for similar items in EconPapers)
JEL-codes: C58 F3 G12 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317086

DOI: 10.1016/j.frl.2020.101894

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