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This article investigates the reaction of integrated financial markets to the COVID-19 pandemic. Using a dynamic conditional correlation model on Euronext Stock Exchange, I find that the integration of financial… Click to show full abstract
This article investigates the reaction of integrated financial markets to the COVID-19 pandemic. Using a dynamic conditional correlation model on Euronext Stock Exchange, I find that the integration of financial markets can act as a buffer against negative shocks such as COVID-19. However, this benefit begins to fade as the number of deaths from COVID-19 increases. In this case, a negative relationship with the dynamic correlation is found in some pairs of member countries.
Keywords:
markets covid;
integration financial;
covid dynamic;
correlation;
financial markets;
dynamic correlation
Journal Title: Applied Economics Letters
Year Published: 2021
Link to full text (if available)
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Journal Title: Applied Economics Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!