The transition of the global financial markets? connectedness during the COVID-19 pandemic

【Author】 Maneejuk, Paravee; Kaewtathip, Nuttaphong; Jaipong, Peemmawat; Yamaka, Woraphon

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This study contributes to the literature on financial research under the presence of the COVID-19 pandemic. Fresh evidence emerges from using two novel approaches, namely network analysis and wavelet coherence, to examine the connectedness and comovement of financial markets consisting of stock, commodity, gold, real estate investment trust, US exchange, oil, and Cryp-tocurrency before and during the COVID-19 onset. Moreover, unlike the previous studies, we seek to fill a gap in the literature regarding the ex-post detection of COVID-19 crises and propose the Markov-switching autoregressive model to detect structural breaks in financial market returns. The first result shows that most financial markets entered the downtrend after January 30, 2020, coinciding with the date the World Health Organization (WHO) declared the COVID-19 pandemic as a Public Health Emergency of International Concern. Thus, it is reasonable to use this date as the break date due to COVID-19. The empirical result from network analysis indicates a similar connectedness, or the network structure, in other words, among global financial markets in both the pre-and during COVID-19 pandemic periods. Moreover, we find evidence of market differ-ences as the MSCI stock market plays a central role while Cryptocurrency presents a weak role in the global financial markets. The findings from the wavelet coherence analysis are quite mixed and illustrate that the comovement of the financial markets varies over time across different frequencies. We also find the main and most significant period of coherence and comovement among financial markets to be between December 2019 and August 2020 at the low-frequency scale (>32 days) (middle and long terms). Among all market pairs, the oil and commodity market pair has the strongest comovement in both pre-and during the COVID-19 pandemic phases at all investment horizons.

【Keywords】Cross-market; Co-movement; Connectedness; COVID-19; Market recovery

【发表时间】2022 NOV

【收录时间】2022-12-10

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币