IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03272577.html
   My bibliography  Save this paper

Connectedness among regional financial markets in the context of the COVID-19

Author

Listed:
  • Amine Ben Amar
  • Fateh Bélaïd

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Adel Ben Youssef
  • Khaled Guesmi

Abstract

In this paper, a spillover index measure is used to explore the extent of the connectedness among a set of six regional stock markets over nearly 8 years from 25 June 2012, to 11 May 2020. Results show that financial markets reacted in largely the same way to the significant economic uncertainty caused by COVID-19, and provide striking evidence of the disconnect between the American emerging market and the global financial markets.

Suggested Citation

  • Amine Ben Amar & Fateh Bélaïd & Adel Ben Youssef & Khaled Guesmi, 2020. "Connectedness among regional financial markets in the context of the COVID-19," Post-Print hal-03272577, HAL.
    • Handle: RePEc:hal:journl:hal-03272577
    DOI: 10.1080/13504851.2020.1854434
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    2. Liu, Xueyong & Chen, Zhihua & Chen, Zhensong & Yao, Yinhong, 2022. "The time-varying spillover effect of China’s stock market during the COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    3. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    4. Fateh Belaid & Amine Ben Amar & Stéphane Goutte & Khaled Guesmi, 2023. "Emerging and advanced economies markets behaviour during the COVID‐19 crisis era," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1563-1581, April.
    5. Khalid Alkhatib & Mothanna Almahmood & Omar Elayan & Laith Abualigah, 2022. "Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(3), pages 1298-1308, June.
    6. Naeem, Muhammad Abubakr & Anwer, Zaheer & Khan, Ashraf & Paltrinieri, Andrea, 2024. "Do market conditions affect interconnectedness pattern of socially responsible equities?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 611-630.
    7. 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).
    8. Isabel Carrillo-Hidalgo & Juan Ignacio Pulido-Fernández & José Luis Durán-Román & Jairo Casado-Montilla, 2023. "COVID-19 and tourism sector stock price in Spain: medium-term relationship through dynamic regression models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    9. Mbarki, Imen & Omri, Abdelwahed & Naeem, Muhammad Abubakr, 2022. "From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    10. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    11. Yousaf, Imran, 2021. "Risk transmission from the COVID-19 to metals and energy markets," Resources Policy, Elsevier, vol. 73(C).
    12. Duan, Kun & Liu, Yang & Yan, Cheng & Huang, Yingying, 2023. "Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis," Energy Economics, Elsevier, vol. 127(PA).
    13. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
    14. Terver Kumeka & Oluwatosin Adeniyi, 2023. "Stock markets response to contagious disease: Evidence on the impact of COVID‐19 in the three worst hit African economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4476-4499, October.
    15. Fateh Belaîd & Sofien Tiba, 2023. "Repercussions the Covid-19 Pandemic on the SDGs Achievement: Is it a New Era for the Development?," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 138-147, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03272577. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.