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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

Abstract: 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

Pages: pages 26
Date: 2021-03
New Economics Papers: this item is included in nep-cmp and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:uto:dipeco:202110

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