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An assessment of how COVID-19 changed the global equity market
Economic Analysis and Policy Số , năm 2021 (Tập 69, trang 480-491)
ISSN: 3135926
ISSN: 3135926
DOI: 10.1016/j.eap.2021.01.003
Tài liệu thuộc danh mục:
Article
English
Tóm tắt tiếng anh
This paper investigates the impact of the U.S and China equity markets on global equity markets during the COVID-19 pandemic. Specifically, we compare the contagion of global equity markets, their volatility persistence, and the volatility spillover effects from the U.S and China to other countries in pre-pandemic and during-pandemic periods. We find evidence of significant contagion effects from the U.S and China stock markets during the COVID-19 pandemic period. Further, we observe that the nature of stock index volatility does not change and there is weak evidence for volatility spillover effects during the pandemic period. 2021 Economic Society of Australia, Queensland