 Financial contagion among stock markets and portfolio risk during the COVID-19 crisisMohamed Yousfi and Houssam Bouzgarrou International Journal of Monetary Economics and Finance, 2023, vol. 16, issue 2, 121-138 Abstract: This paper investigates the effects of the COVID-19 crisis on the co-movements and the risk based contagions between five developed stock markets for the daily data span from January, 2018 to February, 2022. We examine the co-movement using wavelet coherence and quantify the portfolio risk via wavelet value-at-risk ratio. The findings indicate a high degree of positive co-movements between stock markets at various investment horizons during entire sample period. Whereas, the stock market pairs show a high connectedness during the COVID-19 pandemic over the short-term compared to pre-COVID-19 periods, suggesting that the COVID-19 pandemic supports the positive nexus between stock markets. Moreover, the value-at-risk ratio indicates that the contagion between the stock markets, increases the portfolio risk over the long-term, and the pandemic also affects the value-atrisk ratio over the short- and long-term. Therefore, we conclude that portfolio diversification and hedging as a strategies for risk management are a good practice. Keywords: COVID-19; financial market; co-movement; contagion; portfolio risk. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:16:y:2023:i:2:p:121-138 Access Statistics for this article More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd |
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