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Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

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  • Costa, Antonio
  • Matos, Paulo
  • da Silva, Cristiano

Abstract

We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results, we find extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020; some relevant changes in the pairwise connections between sectors, especially among the originally stronger ones. However, in a total net connectedness perspective, there is little evidence of structural changes.

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  • Costa, Antonio & Matos, Paulo & da Silva, Cristiano, 2022. "Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002051
    DOI: 10.1016/j.frl.2021.102124
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