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COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach

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In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence of contagion in the stock markets under consideration during the COVID-19 pandemic..

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  • Alqaralleh, Huthaifa & Canepa, Alessandra & Zanetti Chini, Emilio, 2020. "COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202012, University of Turin.
    • Handle: RePEc:uto:dipeco:202012
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