Autori: Canepa, Alessandra, Zanetti Chini, Emilio, Alqaralleh, Huthaifa
Titolo: COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach.
Periodico: Università degli studi di Torino. Dip. Di Economia e Statistica Cognetti de Martiis. Working paper series
Anno: 2020 - Volume: 5 - Fascicolo: 12 - Pagina iniziale: 1 - Pagina finale: 13

In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence of contagion in the stock markets under consideration during the COVID-19 pandemic.




Testo completo: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2020dip/wp_12_2020.pdf

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