Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

ABSTRACT: In this paper, we analyze the impact of the COVID-19 crisis on global stock sectors from two perspectives. First, to measure the effect of the COVID-19 on the volatility connectedness among global stock sectors in the time–frequency domain, we combine the time-varying connectedness and frequency connectedness method and focus on the total, directional, and net connectedness. The empirical results indicate a dramatic rise in the total connectedness among the global stock sectors following the outbreak of COVID-19. However, the high level of the total connectedness lasted only about two months, representing that the impact of COVID-19 is significant but not durable. Furthermore, we observe that the directional and net connectedness changes of different stock sectors during the COVID-19 pande

SUBMITTER: Dong Z 

PROVIDER: S-EPMC9252869 | biostudies-literature | 2022 Jul

REPOSITORIES: biostudies-literature