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Analysis of risk correlations among stock markets during the COVID-19 pandemic

The outbreak of the COVID-19 pandemic significantly negatively impacted the global economy and stock markets. This paper investigates the stock-market tail risks caused by the COVID-19 pandemic and how the pandemic affects the risk correlations among the stock markets worldwide. The conditional auto...

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Autores principales: Wu, JunFeng, Zhang, Chao, Chen, Yun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9164517/
https://www.ncbi.nlm.nih.gov/pubmed/36536651
http://dx.doi.org/10.1016/j.irfa.2022.102220
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author Wu, JunFeng
Zhang, Chao
Chen, Yun
author_facet Wu, JunFeng
Zhang, Chao
Chen, Yun
author_sort Wu, JunFeng
collection PubMed
description The outbreak of the COVID-19 pandemic significantly negatively impacted the global economy and stock markets. This paper investigates the stock-market tail risks caused by the COVID-19 pandemic and how the pandemic affects the risk correlations among the stock markets worldwide. The conditional autoregressive value at risk (CAViaR) model is used to measure the tail risks of 28 selected stock markets. Furthermore, risk correlation networks are constructed to describe the risk correlations among stock markets during different periods. Through dynamic analysis of the risk correlations, the influence of the COVID-19 pandemic on stock markets worldwide is examined quantitatively. The results show the following: (i) The COVID-19 pandemic has caused significant tail risks in stock markets in most countries, while the stock markets of a few countries have been unaffected by the pandemic. (ii) The topology of risk correlation networks has become denser during the COVID-19 pandemic. The impact of the COVID-19 pandemic makes it easier for risk to transfer among stock markets. (iii) The increase in the closeness of the risk relationship between countries with lower economic correlation has become much higher than that between counties with higher economic correlation during the COVID-19 pandemic. For researchers and policy-makers, these findings reveal practical implications of the risk correlations among stock markets.
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spelling pubmed-91645172022-06-04 Analysis of risk correlations among stock markets during the COVID-19 pandemic Wu, JunFeng Zhang, Chao Chen, Yun Int Rev Financ Anal Article The outbreak of the COVID-19 pandemic significantly negatively impacted the global economy and stock markets. This paper investigates the stock-market tail risks caused by the COVID-19 pandemic and how the pandemic affects the risk correlations among the stock markets worldwide. The conditional autoregressive value at risk (CAViaR) model is used to measure the tail risks of 28 selected stock markets. Furthermore, risk correlation networks are constructed to describe the risk correlations among stock markets during different periods. Through dynamic analysis of the risk correlations, the influence of the COVID-19 pandemic on stock markets worldwide is examined quantitatively. The results show the following: (i) The COVID-19 pandemic has caused significant tail risks in stock markets in most countries, while the stock markets of a few countries have been unaffected by the pandemic. (ii) The topology of risk correlation networks has become denser during the COVID-19 pandemic. The impact of the COVID-19 pandemic makes it easier for risk to transfer among stock markets. (iii) The increase in the closeness of the risk relationship between countries with lower economic correlation has become much higher than that between counties with higher economic correlation during the COVID-19 pandemic. For researchers and policy-makers, these findings reveal practical implications of the risk correlations among stock markets. Elsevier Inc. 2022-10 2022-06-03 /pmc/articles/PMC9164517/ /pubmed/36536651 http://dx.doi.org/10.1016/j.irfa.2022.102220 Text en © 2022 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
Wu, JunFeng
Zhang, Chao
Chen, Yun
Analysis of risk correlations among stock markets during the COVID-19 pandemic
title Analysis of risk correlations among stock markets during the COVID-19 pandemic
title_full Analysis of risk correlations among stock markets during the COVID-19 pandemic
title_fullStr Analysis of risk correlations among stock markets during the COVID-19 pandemic
title_full_unstemmed Analysis of risk correlations among stock markets during the COVID-19 pandemic
title_short Analysis of risk correlations among stock markets during the COVID-19 pandemic
title_sort analysis of risk correlations among stock markets during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9164517/
https://www.ncbi.nlm.nih.gov/pubmed/36536651
http://dx.doi.org/10.1016/j.irfa.2022.102220
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