COVID-19大流行与股市传染:小波联结GARCH方法

Insurance & Financing in Health Economics eJournal Pub Date : 2020-06-01 DOI:10.2139/ssrn.3631067

H. Alqaralleh, A. Canepa, Emilio Zanetti Chini

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引用次数: 3

摘要

在本研究中，我们检验了COVID-19大流行对股市传染的影响。本文采用小波耦合GARCH方法对六大股票市场进行了实证分析，同时考虑了股市相关性的时间和频率方面。我们发现，在2019冠状病毒病大流行期间，正在考虑的股票市场存在传染的有力证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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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Insurance & Financing in Health Economics eJournal

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