Covid-19 pandemic and tail-dependency networks of financial assets
Trung Hai Le,
Hung Xuan Do,
Duc Khuong Nguyen and
Finance Research Letters, 2021, vol. 38, issue C
This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown. Our results from the quantile cross-spectral analysis and tail-dependency networks show increases in the network density in both lower and upper joint distributions of asset returns. Particularly, we observe an asymmetric impact of the Covid-19 because the left-tail dependencies become stronger and more prevalent than the right-tail dependencies. The cross-asset tail-dependency of equity, currency and commodity also increases considerably, especially in the left-tail, implying a higher degree of tail contagion effects. Meanwhile, Bitcoin and US Treasury bonds are disconnected from both tail-dependency networks, which suggests their safe-haven characteristics.
Keywords: Tail-dependency; Financial networks; Covid-19; Asymmetric effect (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().