Title : Stock Market Contagion of COVID-19 in Emerging Economies

Authors : Gazi Uddin, Muhammad Yahya, Gour Goswami, Ali Ahmed

Abstract : The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with the global financial market by using the time-varying dependence approach in a time-frequency space under COVID-19. Our findings indicate a strong, positive dependence among the investigated markets due to the outbreak of COVID-19. In addition, we report an increased tendency of co-movements over the higher horizon which is documented by COVID-19. These findings are of significant interest for market participants, policymakers, and international investors.

Journal : SSRN Working Paper Volume : Year : 2020 Issue :
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