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Stock markets and the COVID-19 fractal contagion effects

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  • Okorie, David Iheke
  • Lin, Boqiang

Abstract

This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets. The stock market information of the top 32 coronavirus affected economies (as of 31st March 2020) was sampled for ex-ante and ex-post COVID-19 outbreak analysis using the Detrended Moving Cross-Correlation Analysis (DMCA) and Detrended Cross-Correlation Analysis (DCCA) techniques. The results confirm a fractal contagion effect of the COVID-19 pandemic on the stock markets. Furthermore, this fractal contagion effect fizzles out over time (in the middle and long run) for both the stock markets return and volatility. Therefore, this article provides pieces of evidence for the COVID-19 fractal contagion effect on the stock markets.

Suggested Citation

  • Okorie, David Iheke & Lin, Boqiang, 2021. "Stock markets and the COVID-19 fractal contagion effects," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305638
    DOI: 10.1016/j.frl.2020.101640
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    More about this item

    Keywords

    Return; Volatility; Stock markets; Cross-correlation; Contagion;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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