An assessment of how COVID-19 changed the global equity market

Dat Nguyen, Dinh Phan (), Tee Chwee Ming and Van Ky Long Nguyen

Economic Analysis and Policy, 2021, vol. 69, issue C, 480-491

Abstract: This paper investigates the impact of the U.S and China equity markets on global equity markets during the COVID-19 pandemic. Specifically, we compare the contagion of global equity markets, their volatility persistence, and the volatility spillover effects from the U.S and China to other countries in pre-pandemic and during-pandemic periods. We find evidence of significant contagion effects from the U.S and China stock markets during the COVID-19 pandemic period. Further, we observe that the nature of stock index volatility does not change and there is weak evidence for volatility spillover effects during the pandemic period.

Keywords: Equity market; COVID-19; Contagion; Volatility persistence; Spillover (search for similar items in EconPapers)
JEL-codes: G01 G1 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:69:y:2021:i:c:p:480-491

DOI: 10.1016/j.eap.2021.01.003

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