Integration of financial markets during COVID-19: a dynamic correlation analysis on Euronext

ABSTRACT

This article investigates the reaction of integrated financial markets to the COVID-19 pandemic. Using a dynamic conditional correlation model on Euronext Stock Exchange, I find that the integration of financial markets can act as a buffer against negative shocks such as COVID-19. However, this benefit begins to fade as the number of deaths from COVID-19 increases. In this case, a negative relationship with the dynamic correlation is found in some pairs of member countries.