Elsevier

Economic Analysis and Policy

Volume 69, March 2021, Pages 480-491
Economic Analysis and Policy

Modelling economic policy issues
An assessment of how COVID-19 changed the global equity market

https://doi.org/10.1016/j.eap.2021.01.003Get rights and content

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.

JEL classification

G1
G12
G01

Keywords

Equity market
COVID-19
Contagion
Volatility persistence
Spillover

Cited by (0)

View Abstract