Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test

Amine Ben Amar, Néjib Hachicha and Nihel Halouani

International Review of Applied Economics, 2021, vol. 35, issue 2, 188-209

Abstract: Using the Toda-Yamamoto-Dolado-Lütkepohl measure of causality, namely the TYDL procedure, which is reliable whatever the variables’ integration order, this study attempts to investigate the existence of shift contagion effect between a set of global, regional, country and US sectoral indices during the COVID-19 crisis. The empirical findings not only reveal that the Chinese stock index has no influence on the rest of the studied stock market indices during the COVID-19 crisis, but also that the European stock index seems to become the major node influencing the market sentiment and, therefore, the other indices during the crisis.

Date: 2021
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DOI: 10.1080/02692171.2020.1853685

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