Financial Contagion During the Covid-19 Pandemic: 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
In this study we examine the impact of the Covid-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a novel wavelet-copula-GARCH procedure to account for both the time and frequency domain of stock market correlation. We find evidence of contagion in the stock markets under consideration during the Covid-19 pandemic
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