Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors d...

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Detalles Bibliográficos
Autores principales: Costa, Antonio, Matos, Paulo, da Silva, Cristiano
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856893/
https://www.ncbi.nlm.nih.gov/pubmed/35221808
http://dx.doi.org/10.1016/j.frl.2021.102124
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author Costa, Antonio
Matos, Paulo
da Silva, Cristiano
author_facet Costa, Antonio
Matos, Paulo
da Silva, Cristiano
author_sort Costa, Antonio
collection PubMed
description We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results, we find extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020; some relevant changes in the pairwise connections between sectors, especially among the originally stronger ones. However, in a total net connectedness perspective, there is little evidence of structural changes.
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spelling pubmed-88568932022-02-22 Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics Costa, Antonio Matos, Paulo da Silva, Cristiano Financ Res Lett Article We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results, we find extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020; some relevant changes in the pairwise connections between sectors, especially among the originally stronger ones. However, in a total net connectedness perspective, there is little evidence of structural changes. Elsevier Inc. 2022-03 2021-05-15 /pmc/articles/PMC8856893/ /pubmed/35221808 http://dx.doi.org/10.1016/j.frl.2021.102124 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Costa, Antonio
Matos, Paulo
da Silva, Cristiano
Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title_full Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title_fullStr Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title_full_unstemmed Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title_short Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics
title_sort sectoral connectedness: new evidence from us stock market during covid-19 pandemics
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856893/
https://www.ncbi.nlm.nih.gov/pubmed/35221808
http://dx.doi.org/10.1016/j.frl.2021.102124
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