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Stock market comovements: Evidence from the COVID-19 pandemic

The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The...

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Detalles Bibliográficos
Autor principal: Zehri, Chokri
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8523215/
https://www.ncbi.nlm.nih.gov/pubmed/34691197
http://dx.doi.org/10.1016/j.jeca.2021.e00228