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.
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Università degli studi [Bari] : Sistema bibliotecario di Ateneo: Biblioteca centrale del Polo Economico Largo Abbazia Santa Scolastica, 53 70124 - Bari