Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic

Renee Fry-McKibbin, Matthew Greenwood-Nimmo, Cody Yu-Ling Hsiao and Lin Qi

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

Abstract: We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.

Keywords: Financial contagion; Comoment contagion tests (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Working Paper: Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002312

DOI: 10.1016/j.frl.2021.102150

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