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Dependence dynamics of stock markets during COVID-19
Emerging Markets Review ; 51, 2022.
Article in English | Web of Science | ID: covidwho-1996140
ABSTRACT
Stock markets have exhibited increased returns connectedness during the COVID-19 period. We examine the returns dependence among 42 stock markets classified under various emerging and developed groupings. We apply several dependence measures to examine the returns connectedness among the markets. Our results show that stock markets from the G-7 and Emerging Frontier and Asian (EFA) region exhibit high connectedness with other international markets, while Middle East and North African (MENA) and Latin American (LA) stock markets offer high diversification opportunities through low returns connectedness. The returns coherence of Central and East European (CEE) and G-7 markets increase significantly during the COVID-19 period which supports the hypothesis of contagion. However, during the pandemic MENA stock markets (excluding Greece) and most EFA markets (excluding China, Singapore and Korea) remain less cointegrated with other international equity markets. Our results have implications for individual and institutional investors, fund managers and other financial market stakeholders.
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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Emerging Markets Review Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Emerging Markets Review Year: 2022 Document Type: Article