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A Research on the Impact of Global Stock Market Co-movement during Covid-19 Epidemic

Author

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  • Li Cheng
  • Jermoe Kueh Swee Hui

Abstract

Covid-19 has brought huge fluctuations to world economy and such volatilityis evidently indicated by global stock market. In light of econometric hypotheses, this paper explained the comovement mechanism of global stock markets, made descriptive statistical analysis to the market returns of sample countries with VAR and DCC-GARCH models, and examined the comovement of market returns. The result shows that stock market in Brazil was the most volatile among all sample countries. Meanwhile, after the outbreak, VIX and WTI’s influence on dynamic correlation coefficients increased, showing a positive and significant impact and thereby strengthening the comovement of global stock markets.

Suggested Citation

  • Li Cheng & Jermoe Kueh Swee Hui, 2023. "A Research on the Impact of Global Stock Market Co-movement during Covid-19 Epidemic," International Business Research, Canadian Center of Science and Education, vol. 16(3), pages 1-31, March.
    • Handle: RePEc:ibn:ibrjnl:v:16:y:2023:i:3:p:31
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    References listed on IDEAS

    as
    1. Bertrand B. Maillet & Thierry L. Michel, 2005. "The Impact of the 9/11 Events on the American and French Stock Markets," Review of International Economics, Wiley Blackwell, vol. 13(3), pages 597-611, August.
    2. Bertrand Maillet & Thierry Michel, 2005. "The Impact of the 9/11 Events on the American and French Stock Markets," Post-Print hal-00308978, HAL.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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