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

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.