Stock markets and the COVID-19 fractal contagion effects

被引：205
|
作者：
Okorie, David Iheke [1 ]
Lin, Boqiang [2 ]
机构：
[1] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, 422 South Siming Rd, Xiamen 361005, Peoples R China
[2] Xiamen Univ, Collaborat Innovat Ctr Energy Econ & Energy Polic, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Fujian, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
Return; Volatility; Stock markets; Cross-correlation; Contagion;
D O I：
10.1016/j.frl.2020.101640
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets. The stock market information of the top 32 coronavirus affected economies (as of 31st March 2020) was sampled for ex-ante and ex-post COVID-19 outbreak analysis using the Detrended Moving Cross-Correlation Analysis (DMCA) and Detrended Cross-Correlation Analysis (DCCA) techniques. The results confirm a fractal contagion effect of the COVID-19 pandemic on the stock markets. Furthermore, this fractal contagion effect fizzles out over time (in the middle and long run) for both the stock markets return and volatility. Therefore, this article provides pieces of evidence for the COVID-19 fractal contagion effect on the stock markets.
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页数：8
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