IDEAS home Printed from https://ideas.repec.org/a/ids/ijmefi/v16y2023i2p121-138.html
   My bibliography  Save this article

Financial contagion among stock markets and portfolio risk during the COVID-19 crisis

Author

Listed:
  • Mohamed Yousfi
  • Houssam Bouzgarrou

Abstract

This paper investigates the effects of the COVID-19 crisis on the co-movements and the risk based contagions between five developed stock markets for the daily data span from January, 2018 to February, 2022. We examine the co-movement using wavelet coherence and quantify the portfolio risk via wavelet value-at-risk ratio. The findings indicate a high degree of positive co-movements between stock markets at various investment horizons during entire sample period. Whereas, the stock market pairs show a high connectedness during the COVID-19 pandemic over the short-term compared to pre-COVID-19 periods, suggesting that the COVID-19 pandemic supports the positive nexus between stock markets. Moreover, the value-at-risk ratio indicates that the contagion between the stock markets, increases the portfolio risk over the long-term, and the pandemic also affects the value-atrisk ratio over the short- and long-term. Therefore, we conclude that portfolio diversification and hedging as a strategies for risk management are a good practice.

Suggested Citation

  • Mohamed Yousfi & Houssam Bouzgarrou, 2023. "Financial contagion among stock markets and portfolio risk during the COVID-19 crisis," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 16(2), pages 121-138.
    • Handle: RePEc:ids:ijmefi:v:16:y:2023:i:2:p:121-138
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=130887
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmefi:v:16:y:2023:i:2:p:121-138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=218 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.