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Learning from SARS: Return and volatility connectedness in COVID-19

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  • Bissoondoyal-Bheenick, Emawtee
  • Do, Hung
  • Hu, Xiaolu
  • Zhong, Angel

Abstract

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of COVID-19 severity and controlling for a number of cross-country differences in economic development.

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  • Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2021. "Learning from SARS: Return and volatility connectedness in COVID-19," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s154461232031610x
    DOI: 10.1016/j.frl.2020.101796
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    Cited by:

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    3. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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    7. Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
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    More about this item

    Keywords

    COVID-19; SARS 2003; Spillover; Volatility connectedness; Return connectedness;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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