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COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach

Huthaifa Alqaralleh (), Alessandra Canepa () and Emilio Zanetti Chini ()

Department of Economics and Statistics Cognetti de Martiis. Working Papers from University of Turin

Abstract: In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence of contagion in the stock markets under consideration during the COVID-19 pandemic..

Pages: pages 13
Date: 2020-06
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:uto:dipeco:202012

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