Impact of COVID-19 on Stock Markets

Gkaitantzis Christos, Nikandrou Charalampos and Kyriazakou Eleni ()
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Kyriazakou Eleni: University of Macedonia, Greece

Asian Economics Letters, 2021, vol. 2, issue 2, 1-4

Abstract: Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover index, we show that shock spillover varies over time and increases because of crises.

Keywords: covid-19; volatility; returns (search for similar items in EconPapers)
JEL-codes: G1 I00 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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