COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis

Chakrabarti, Prasenjit and Jaweda, Mohammad Shameem and Sarkhel, Manish (2021) COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis. Applied Economics. pp. 1-16. ISSN 0003-6846

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Abstract

The present study investigates the changes in G20 stock market dynamics and their interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation Analysis (DCCA) along with the network and complexity theories for detecting the contagion effect of the pandemic on the stock markets. We find that both advanced and emerging stock markets, departing from their pre- crisis structures, form a tightly coupled close community after the disease outbreak – except for China that distanced itself from the rest of the cohort. This indicates that COVID-19 has caused contagion in the global equity market, which has increased the risk to international portfolio diversification benefits. The adoption of the Network theory for contagion detection technique augments the detailed understanding of the structural changes and their interlinkages among the stock markets in a more comprehensive way

Item Type:	Article
Uncontrolled Keywords:	COVID-19; Detrended cross- correlation analysis; Contagion; stock market; Multiscale networks
Subjects:	Finance Finance > Capital Markets/Stock Marketing
Divisions:	Finance and Strategy
Depositing User:	Mr. Muralidhara D
Date Deposited:	01 Mar 2021 09:16
Last Modified:	01 Mar 2021 09:16
URI:	http://tapmi.informaticsglobal.com/id/eprint/709

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