International stock market risk contagion during the COVID-19 pandemic

Yuntong Liu, Yu Wei, Qian Wang and Yi Liu

Finance Research Letters, 2022, vol. 45, issue C

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.

Keywords: Risk contagion; COVID-19 pandemic; Spillover; International stock markets (search for similar items in EconPapers)
JEL-codes: F02 F36 F42 G01 G15 G23 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002269

DOI: 10.1016/j.frl.2021.102145

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