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The International Spread of COVID-19 Stock Market Collapses

Author

Listed:
  • Contessi, Silvio

    (Monash Business School)

  • De Pace, Pierangelo

    (Pomona College)

Abstract

We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during 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 not explosive in all markets.

Suggested Citation

  • Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
    • Handle: RePEc:clm:pomwps:1013
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    File URL: https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1013&context=pomona_fac_econ
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    References listed on IDEAS

    as
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    2. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
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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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