Article ; Online: Learning from SARS: Return and volatility connectedness in COVID-19.
Finance research letters
2020 Volume 41, Page(s) 101796
Abstract: Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and ... ...
| Abstract | Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of COVID-19 severity and controlling for a number of cross-country differences in economic development. |
|---|---|
| Keywords | covid19 |
| Language | English |
| Publishing date | 2020-10-16 |
| Publishing country | Netherlands |
| Document type | Journal Article |
| ISSN | 1544-6131 |
| ISSN (online) | 1544-6131 |
| DOI | 10.1016/j.frl.2020.101796 |
| Database | MEDical Literature Analysis and Retrieval System OnLINE |
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