Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

被引：49
|
作者：
Costa, Antonio [1 ]
Matos, Paulo [1 ]
da Silva, Cristiano [2 ]
机构：
[1] CAEN Grad Sch Econ, Fortaleza, Ceara, Brazil
[2] UERN Univ State Rio Grande Norte Brazil, Natal, RN, Brazil
来源：
FINANCE RESEARCH LETTERS | 2022年 / 45卷
关键词：
COVID-19; Sectoral connectedness; Volatility spillover; Portfolio allocation; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; VARIANCE; OIL;
D O I：
10.1016/j.frl.2021.102124
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results, we find extraordinary increase in total connectedness, from early stages of international spread to the end of July 2020; some relevant changes in the pairwise connections between sectors, especially among the originally stronger ones. However, in a total net connectedness perspective, there is little evidence of structural changes.
引用
收藏
页数：14
相关论文
共 50 条
  • [1] Economic Policy Uncertainty and Sectoral Trading Volume in the US Stock Market: Evidence from the COVID-19 Crisis
    Pak, Dohyun
    Choi, Sun-Yong
    [J]. COMPLEXITY, 2022, 2022
  • [2] Layoffs and stock market performance during the COVID-19 pandemic: evidence from the US
    Floros, Christos
    Psillaki, Maria
    Karpouzis, Efstathios
    [J]. JOURNAL OF ECONOMIC STUDIES, 2021, : 96 - 108
  • [3] COVID-19 and instability of stock market performance: evidence from the US
    Hong, Hui
    Bian, Zhicun
    Lee, Chien-Chiang
    [J]. FINANCIAL INNOVATION, 2021, 7 (01)
  • [4] The Connectedness between COVID-19 and Trading Value in Stock Market: Evidence from Thailand
    Gongkhonkwa, Guntpishcha
    [J]. JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (07): : 383 - 391
  • [5] COVID-19, stock market and sectoral contagion in US: a time-frequency analysis
    Matos, Paulo
    Costa, Antonio
    Silva, Cristiano da
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2021, 57
  • [6] Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
    Benlagha, Noureddine
    El Omari, Salaheddine
    [J]. FINANCE RESEARCH LETTERS, 2022, 46
  • [7] COVID-19 and cryptocurrency market: Evidence from quantile connectedness
    Naeem, Muhammad Abubakr
    Qureshi, Saba
    Rehman, Mobeen Ur
    Balli, Faruk
    [J]. APPLIED ECONOMICS, 2022, 54 (03) : 280 - 306
  • [8] COVID-19 impact on stock market: Evidence from the Indian stock market
    Sahoo, Manamani
    [J]. JOURNAL OF PUBLIC AFFAIRS, 2021, 21 (04)
  • [9] Stock market reaction to COVID-19: Evidence from US Firms' International exposure
    Yong, Hue Hwa Au
    Laing, Elaine
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 76
  • [10] Stock market flexibility during COVID-19 pandemic: evidence from Pakistan
    Kalsoom, Ume
    Javed, Sheheryar
    Khan, Rizwan Ullah
    Maqsood, Arif
    [J]. JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2023, 39 (04) : 976 - 987
12345