Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era

Belaid Fateh, Amine Ben Amar, Stéphane Goutte and Khaled Guesmi
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Khaled Guesmi: PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université

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Abstract: This article examines the consequences of the COVID-19 crisis on the interdependencies between emerging and advanced economies. Using daily market index data from 22 developed and emerging markets, we develop a combination of statistical methods based on Diebold and Yilmaz spillover index and Toda–Yamamoto and Dolado and Lütkepohl causality approach. The results substantiate an increase in the interdependence between emerging and advances economies, which suggests an increase in the transmission of the stress and uncertainty between financial markets during the pandemic period. Our findings show that the emerging countries are affected by the financial markets of advanced economies during the COVID-19 crisis and, in particular, by European markets, which appear to be the primary driver of contagion and transmission of stress and uncertainty to all other regional markets.

Keywords: contagion effect; COVID-19; developed economies; emerging economies; equity markets (search for similar items in EconPapers)
Date: 2021-01-09
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Citations: View citations in EconPapers (12)

Published in International Journal of Finance and Economics, 2021, ⟨10.1002/ijfe.2494⟩

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Journal Article: Emerging and advanced economies markets behaviour during the COVID‐19 crisis era (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03273647

DOI: 10.1002/ijfe.2494

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