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

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion of Chinese 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)
Pages: 17 pages
Date: 2021-04
New Economics Papers: this item is included in nep-mac and nep-rmg
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Citations: View citations in EconPapers (2)

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Journal Article: Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2021-36

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