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Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test

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  • Amine Ben Amar
  • Néjib Hachicha
  • Nihel Halouani

Abstract

Using the Toda-Yamamoto-Dolado-Lütkepohl measure of causality, namely the TYDL procedure, which is reliable whatever the variables’ integration order, this study attempts to investigate the existence of shift contagion effect between a set of global, regional, country and US sectoral indices during the COVID-19 crisis. The empirical findings not only reveal that the Chinese stock index has no influence on the rest of the studied stock market indices during the COVID-19 crisis, but also that the European stock index seems to become the major node influencing the market sentiment and, therefore, the other indices during the crisis.

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  • Amine Ben Amar & Néjib Hachicha & Nihel Halouani, 2021. "Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test," International Review of Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 188-209, March.
    • Handle: RePEc:taf:irapec:v:35:y:2021:i:2:p:188-209
    DOI: 10.1080/02692171.2020.1853685
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    Cited by:

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    2. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    3. Gao Tianming & Vasilii Erokhin & Aleksandr Arskiy & Mikail Khudzhatov, 2021. "Has the COVID-19 Pandemic Affected Maritime Connectivity? An Estimation for China and the Polar Silk Road Countries," Sustainability, MDPI, vol. 13(6), pages 1-39, March.
    4. Amar, Amine Ben & Goutte, Stéphane & Isleimeyyeh, Mohammad & Benkraiem, Ramzi, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    5. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
    6. Abricha, Amal & Ben Amar, Amine & Bellalah, Makram, 2024. "Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 229-246.

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