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The International Spread of COVID-19 Stock Market Collapses

Author

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  • Contessi, Silvio

    (Monash Business School)

  • De Pace, Pierangelo

    (Pomona College)

Abstract

We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market to all other markets. The recovery is heterogeneous and not explosive in all markets.

Suggested Citation

  • Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
  • Handle: RePEc:clm:pomwps:1013
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    File URL: https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1013&context=pomona_fac_econ
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    References listed on IDEAS

    as
    1. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
    2. Croce, Mariano Massimiliano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
    3. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    4. Stefano Ramelli & Alexander F. Wagner, 2020. "Feverish Stock Price Reactions to COVID-19," Swiss Finance Institute Research Paper Series 20-12, Swiss Finance Institute.
    5. George Milunovich & Shuping Shi & David Tan, 2019. "Bubble detection and sector trading in real time," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 247-263, February.
    6. Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
    7. Okorie, David Iheke & Lin, Boqiang, 2021. "Stock markets and the COVID-19 fractal contagion effects," Finance Research Letters, Elsevier, vol. 38(C).
    8. Ramelli, Stefano & Wagner, Alexander F, 2020. "Feverish Stock Price Reactions to COVID-19," CEPR Discussion Papers 14511, C.E.P.R. Discussion Papers.
    9. Niels J. Gormsen & Ralph S. J. Koijen, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," NBER Working Papers 27387, National Bureau of Economic Research, Inc.
    10. Laura Alfaro & Anusha Chari & Andrew N. Greenland & Peter K. Schott, 2020. "Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time," NBER Working Papers 26950, National Bureau of Economic Research, Inc.
    11. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
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    RePEc Biblio mentions

    As found on the RePEc Biblio, the curated bibliography for Economics:
    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market

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    Cited by:

    1. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.

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    More about this item

    Keywords

    Mildly Explosive Behavior; Stock Market Crashes; COVID-19;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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