Covid-19 pandemic and tail-dependency networks of financial assets

【Author】 Trung Hai Le; Hung Xuan; Duc Khuong Nguyen; Sensoy, Ahmet

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown. Our results from the quantile cross-spectral analysis and tail-dependency networks show increases in the network density in both lower and upper joint distributions of asset returns. Particularly, we observe an asymmetric impact of the Covid-19 because the left-tail dependencies become stronger and more prevalent than the right-tail dependencies. The cross-asset tail-dependency of equity, currency and commodity also increases considerably, especially in the left-tail, implying a higher degree of tail contagion effects. Meanwhile, Bitcoin and US Treasury bonds are disconnected from both tail-dependency networks, which suggests their safe-haven characteristics.

【Keywords】Tail-dependency; Financial networks; Covid-19; Asymmetric effect

【发表时间】2021 JAN

【收录时间】2022-01-02

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