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2021 • Learning from SARS: Return and Volatility Connectedness in COVID-19.

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

Abstract: Highlights • We examine the impact of COVID-19 on stock return and volatility connectedness. • We assess if connectedness measures behave differently for countries with SARS 2003 experience. • Both stock return and volatility connectedness increase across the phases of the COVID-19. • Both connectedness is more pronounced as the severity of the pandemic builds up. • The degree of connectedness is lower in countries with SARS 2003 death experience.

External links: OpenAIRE

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

Emawtee Bissoondoyal-Bheenick, Hung Do, Xiaolu Hu, Angel Zhong

Finance Research Letters · 2021

Financial economics | Demographic economics | Monetary economics |

Open Access

Article