Author: Yu, Honghai; Chu, Wangyu; Ding, Yu’ang; Zhao, Xuezhou
Title: Risk contagion of global stock markets under COVIDâ€19:A network connectedness method Cord-id: l4cecq9w Document date: 2021_3_21
ID: l4cecq9w
Snippet: COVIDâ€19 spread throughout the world during 2020, bringing an increase in global financial risk. We use connectedness network to investigate the risk contagion among global stock markets during the COVIDâ€19 pandemic and analyse its source. Furthermore, we use spectrum analysis to explore the risk contagion effects on different frequency bands, which allows us to explore its speed and channels. We find that the United Kingdom and Italy are core transmitters of risks, and connectedness is main
Document: COVIDâ€19 spread throughout the world during 2020, bringing an increase in global financial risk. We use connectedness network to investigate the risk contagion among global stock markets during the COVIDâ€19 pandemic and analyse its source. Furthermore, we use spectrum analysis to explore the risk contagion effects on different frequency bands, which allows us to explore its speed and channels. We find that the United Kingdom and Italy are core transmitters of risks, and connectedness is mainly driven by lowâ€frequency components, which demonstrates that the risks are spread by affecting supply chains in global markets and investors’ longâ€term expectations for the economy.
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