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Impacts of the COVID-19 pandemic on financial market connectedness

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  • So, Mike K.P.
  • Chu, Amanda M.Y.
  • Chan, Thomas W.C.

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.

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  • So, Mike K.P. & Chu, Amanda M.Y. & Chan, Thomas W.C., 2021. "Impacts of the COVID-19 pandemic on financial market connectedness," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316780
    DOI: 10.1016/j.frl.2020.101864
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    Cited by:

    1. Xunfa Lu & Zhitao Ye & Kin Keung Lai & Hairong Cui & Xiao Lin, 2022. "Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets," Mathematics, MDPI, vol. 10(4), pages 1-19, February.
    2. Yousaf, Imran, 2021. "Risk transmission from the COVID-19 to metals and energy markets," Resources Policy, Elsevier, vol. 73(C).
    3. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
    4. Mike K. P. So & Jacky N. L. Chan & Amanda M. Y. Chu, 2022. "Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes," JRFM, MDPI, vol. 15(6), pages 1-11, May.
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    6. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
    7. Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
    8. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    9. Ka Shing Cheung & Chung Yim Yiu & Chuyi Xiong, 2021. "Housing Market in the Time of Pandemic: A Price Gradient Analysis from the COVID-19 Epicentre in China," JRFM, MDPI, vol. 14(3), pages 1-17, March.
    10. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

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