Contagion between selected European indexes during the Covid-19 pandemic
Henryk Gurgul () and
Robert Syrek ()
Operations Research and Decisions, 2023, vol. 33, issue 1, 47-59
The main aim of this study is to examine dynamic dependence and proof of contagion during the Covid-2019 pandemic. The empirical data are daily prices from six European indexes. The FTSE, DAX and CAC indexes represent the largest and most developed stock markets in Europe, while the Austrian ATX index represents small developed markets. The WIG and BUX indexes represent emerging European markets. This empirical study, based on the Dynamic Conditional Correlation model, which is applied to different pairs of indexes, aims to convince the reader of the increase in the correlation between the time of the pandemic (after 30 December 2019) and the period before the beginning of the pandemic. For all pairs, the mean value of the conditional correlations in the pre-Covid period was statistically below the values in the Covid period. The results indicate contagion in Europe after the outbreak of the Covid-2019 pandemic.
Keywords: European indexes; pandemic Covid-19; dynamic conditional correlation; contagion (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4
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