Template-type: ReDIF-Paper 1.0
Author-Name: Alqaralleh, Huthaifa     
Author-Email: huthaifa89@mutah.edu.jo  
Author-Name: Canepa, Alessandra
Author-Email: Alessandra.Canepa@unito.it
Author-Name: Zanetti Chini, Emilio 
Author-Email: emilio.zanettichini@uniroma1.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title:COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach.
Abstract: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..
Length: pages 13
Creation-Date: 2020-06
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2020dip/wp_12_2020.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202012