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The international spread of COVID-19 stock market collapses

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  • Contessi, Silvio
  • De Pace, Pierangelo

Abstract

We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the first wave of the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market to all other markets. The recovery is heterogeneous and generally non-explosive.

Suggested Citation

  • Contessi, Silvio & De Pace, Pierangelo, 2021. "The international spread of COVID-19 stock market collapses," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317086
    DOI: 10.1016/j.frl.2020.101894
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    More about this item

    Keywords

    Mildly explosive behavior; Stock market crashes; COVID-19;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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