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COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis

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  • Prasenjit Chakrabarti
  • Mohammad Shameem Jawed
  • Manish Sarkhel

Abstract

The present study investigates the changes in G20 stock market dynamics and their interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation Analysis (DCCA) along with the network and complexity theories for detecting the contagion effect of the pandemic on the stock markets. We find that both advanced and emerging stock markets, departing from their pre-crisis structures, form a tightly coupled close community after the disease outbreak – except for China that distanced itself from the rest of the cohort. This indicates that COVID-19 has caused contagion in the global equity market, which has increased the risk to international portfolio diversification benefits. The adoption of the Network theory for contagion detection technique augments the detailed understanding of the structural changes and their interlinkages among the stock markets in a more comprehensive way.

Suggested Citation

  • Prasenjit Chakrabarti & Mohammad Shameem Jawed & Manish Sarkhel, 2021. "COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis," Applied Economics, Taylor & Francis Journals, vol. 53(25), pages 2930-2945, May.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:25:p:2930-2945
    DOI: 10.1080/00036846.2020.1870654
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    Cited by:

    1. Thanh Ha, Le & Bouteska, Ahmed & Harasheh, Murad, 2024. "Dynamic connectedness between FinTech and energy markets: Evidence from fat tails, serial dependence, and Bayesian approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 574-586.
    2. Pami Dua & Divya Tuteja, 2024. "Impact Of Crises On Indian Financial Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(3), pages 557-572, July.
    3. Faheem Aslam & Paulo Ferreira & Haider Ali & Sumera Kauser, 2022. "Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 333-359, June.
    4. Chada, Swechha, 2023. "Economic policy uncertainties and institutional ownership in India," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    5. Chortane, Sana Gaied & Pandey, Dharen Kumar, 2022. "Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    6. Zorgati, Imen & Garfatta, Riadh, 2021. "Spatial financial contagion during the COVID-19 outbreak: Local correlation approach," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

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