Impacts of the COVID-19 pandemic on financial market connectedness

By Mike K. P. So, Amanda M. Y. Chu, Thomas W. C. Chan. Finance Research Letters, 2020

160 citations recorded by the source corpus.

Abstract In this paper, we study the impacts of the COVID-19 pandemic on the connectedness of the Hong Kong financial market. We construct dynamic financial networks based on correlations and partial correlations of stock returns to assess the impacts of COVID-19 and to compare the impacts in the previous financial crises in the past 15 years. Compared to other crises where the network density and clustering can be explained by co-movement with market indices as in normal periods, both network density and clustering are higher in the partial correlation networks during the COVID-19 outbreak.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/959bb1db805af08533bccfb768237ee1b0b67424