BIP! Finder - Learning from SARS: Return and volatility connectedness in COVID-19

2021 • Learning from SARS: Return and volatility connectedness in COVID-19

Authors: Bissoondoyal-Bheenick, Emawtee; Do, Hung; Hu, Xiaolu; Zhong, Angel

Venue: Finance Research Letters

Type: Publication

Abstract: Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the severity of the pandemic builds up. However, the degree of connectedness is significantly lower in countries with SARS 2003 death experience. Our results are robust to different measures of ... (read more)

Impact:

5.997722E-8 5.4652975E-9 58 55

/ Attention: 0 36

Topics: Financial economics Econometrics Monetary economics

DOI: 10.1016/j.frl.2020.101796

External links: Crossref OpenAIRE

BibTex PDF

Topic-specific impact indicators

Popularity:
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Influence:
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citation Count:
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Impulse:
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.