Impacts of the COVID-19 pandemic on financial market connectedness

被引：116
|
作者：
So, Mike K. P. [1 ]
Chu, Amanda M. Y. [2 ]
Chan, Thomas W. C. [1 ]
机构：
[1] Hong Kong Univ Sci & Technol, Dept Informat Syst Business Stat & Operat Managem, Clear Water Bay, Hong Kong, Peoples R China
[2] Educ Univ Hong Kong, Dept Social Sci, Tai Po, Hong Kong, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
Coronavirus; Financial contagion; Pandemic risk; Network analysis; Systemic risk;
D O I：
10.1016/j.frl.2020.101864
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we study the impacts of the COVID-19 pandemic on the connectedness of the Hong Kong financial market. We construct dynamic financial networks based on correlations and partial correlations of stock returns to assess the impacts of COVID-19 and to compare the impacts in the previous financial crises in the past 15 years. Compared to other crises where the network density and clustering can be explained by co-movement with market indices as in normal periods, both network density and clustering are higher in the partial correlation networks during the COVID-19 outbreak.
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页数：8
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