An assessment of how COVID-19 changed the global equity market

Dat Thanh Nguyen; Dinh Hoang Bach Phan; Tee Chwee Ming; Van Ky Long Nguyen

doi:10.1016/j.eap.2021.01.003

An assessment of how COVID-19 changed the global equity market

Dat Thanh Nguyen^*, Dinh Hoang Bach Phan, Tee Chwee Ming, Van Ky Long Nguyen

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

38 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	480-491
Number of pages	12
Journal	Economic Analysis and Policy
Volume	69
DOIs	https://doi.org/10.1016/j.eap.2021.01.003
Publication status	Published - Mar 2021
Externally published	Yes

Keywords

Contagion
COVID-19
Equity market
Spillover
Volatility persistence

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10.1016/j.eap.2021.01.003

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title = "An assessment of how COVID-19 changed the global equity market",

abstract = "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.",

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N2 - 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.

AB - 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.

KW - Contagion

KW - COVID-19

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KW - Spillover

KW - Volatility persistence

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VL - 69

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ER -

An assessment of how COVID-19 changed the global equity market

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Keywords

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