Risk contagion of global stock markets under COVID‐19:A network connectedness method

Honghai Yu · Wangyu Chu · Yu’ang Ding · Xuezhou Zhao

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

Abstract

Abstract COVID‐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 COVID‐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 low‐frequency components, which demonstrates that the risks are spread by affecting supply chains in global markets and investors’ long‐term expectations for the economy.

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2016CoVaR 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 2017SRISK: A conditional capital shortfall measure of systemic risk 2002Range‐Based Estimation of Stochastic Volatility Models 2017Estimating global bank network connectedness

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