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Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic()
We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail ri...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856898/ https://www.ncbi.nlm.nih.gov/pubmed/35221814 http://dx.doi.org/10.1016/j.frl.2021.102150 |