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Stock markets and the COVID-19 fractal contagion effects

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  1. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
  2. Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
  3. Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena, 2024. "Integrated nested Laplace approximations for threshold stochastic volatility models," Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
  4. Zhang, Wenwen & Cao, Shuo & Zhang, Xuan & Qu, Xuefeng, 2023. "COVID-19 and stock market performance: Evidence from the RCEP countries," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 717-735.
  5. Ling Jin & Jun Hyeok Choi & Saerona Kim & Kwanghee Cho, 2022. "Slack Resources, Corporate Performance, and COVID-19 Pandemic: Evidence from China," IJERPH, MDPI, vol. 19(21), pages 1-21, November.
  6. Zheng, Wenyuan & Li, Bingqing & Huang, Zhiyong & Chen, Lu, 2022. "Why Was There More Household Stock Market Participation During the COVID-19 Pandemic?," Finance Research Letters, Elsevier, vol. 46(PB).
  7. Beata Bieszk-Stolorz & Krzysztof Dmytrów, 2021. "Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods," Risks, MDPI, vol. 9(7), pages 1-19, June.
  8. Khan, Muhammad Asif & Segovia, Juan E.Trinidad & Bhatti, M.Ishaq & Kabir, Asif, 2023. "Corporate vulnerability in the US and China during COVID-19: A machine learning approach," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  9. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
  10. Gächter, Martin & Huber, Florian & Meier, Martin, 2022. "A shot for the US economy," Finance Research Letters, Elsevier, vol. 47(PA).
  11. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
  12. Hayet Soltani & Mouna Boujelbène Abbes, 2023. "The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 94-115, March.
  13. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
  14. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
  15. David I. Okorie, 2021. "A network analysis of electricity demand and the cryptocurrency markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3093-3108, April.
  16. Amri Amamou, Souhir & Aguir Bargaoui, Saoussen, 2022. "Energy markets responds to Covid-19 pandemic," Resources Policy, Elsevier, vol. 76(C).
  17. Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
  18. Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021. "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, vol. 58(C).
  19. Bello, Jaliyyah & Guo, Jiaqi & Newaz, Mohammad Khaleq, 2022. "Financial contagion effects of major crises in African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
  20. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021. "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 489-502.
  21. Zaghum Umar & Mariya Gubareva & Tatiana Sokolova, 2021. "The impact of the Covid-19 related media coverage upon the five major developing markets," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-28, July.
  22. Afees A. Salisu & Ahamuefula E. Ogbonna & Tirimisiyu F. Oloko & Idris A. Adediran, 2021. "A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic," Sustainability, MDPI, vol. 13(6), pages 1-18, March.
  23. Refai, Hisham Al & Zeitun, Rami & Eissa, Mohamed Abdel-Aziz, 2022. "Impact of global health crisis and oil price shocks on stock markets in the GCC," Finance Research Letters, Elsevier, vol. 45(C).
  24. 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.
  25. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  26. Kanno, Masayasu, 2021. "Assessing the impact of COVID-19 on major industries in Japan: A dynamic conditional correlation approach," Research in International Business and Finance, Elsevier, vol. 58(C).
  27. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2023. "Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets," Energy & Environment, , vol. 34(5), pages 1433-1470, August.
  28. Contessi, Silvio & De Pace, Pierangelo, 2021. "The international spread of COVID-19 stock market collapses," Finance Research Letters, Elsevier, vol. 42(C).
  29. Nigmonov, Asror & Shams, Syed & Alam, Khorshed, 2024. "Liquidity risk in FinTech lending: Early impact of the COVID-19 pandemic on the P2P lending market," Emerging Markets Review, Elsevier, vol. 58(C).
  30. Jin, Lifu & Zheng, Bo & Ma, Jiahao & Zhang, Jiu & Xiong, Long & Jiang, Xiongfei & Li, Jiangcheng, 2022. "Empirical study and model simulation of global stock market dynamics during COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
  31. Asror Nigmonov & Syed Shams, 2021. "COVID-19 pandemic risk and probability of loan default: evidence from marketplace lending market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-28, December.
  32. Danai Likitratcharoen & Pan Chudasring & Chakrin Pinmanee & Karawan Wiwattanalamphong, 2023. "The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies," Sustainability, MDPI, vol. 15(5), pages 1-21, March.
  33. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš & Molnár, Peter, 2020. "Fear of the coronavirus and the stock markets," Finance Research Letters, Elsevier, vol. 36(C).
  34. Ferry Syarifuddin & Maman Setiawan, 2021. "Capital Flow Amid The Covid-19 Pandemic: Cross-Country Contagion Effect Among Asean5 And Projection Of The Impacts For The Indonesian Economy," Working Papers WP/08/2021, Bank Indonesia.
  35. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
  36. Okorie, David Iheke & Lin, Boqiang, 2023. "Cryptocurrency spectrum and 2020 pandemic: Contagion analysis," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 29-38.
  37. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
  38. Ospina-Forero, Luis & Granados, Oscar M., 2023. "A network analysis of the structure and dynamics of FX derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
  39. Xunfa Lu & Zhitao Ye & Kin Keung Lai & Hairong Cui & Xiao Lin, 2022. "Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets," Mathematics, MDPI, vol. 10(4), pages 1-19, February.
  40. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.
  41. Mehmet Sahiner, 2024. "Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2435-2499, June.
  42. Richard C. K. Burdekin & Samuel Harrison, 2021. "Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries," JRFM, MDPI, vol. 14(4), pages 1-18, April.
  43. Katarzyna Czech & Michał Wielechowski & Pavel Kotyza & Irena Benešová & Adriana Laputková, 2020. "Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets," Sustainability, MDPI, vol. 12(15), pages 1-19, August.
  44. Gangopadhyay, Partha & Pradhan, Rudra P. & Das, Narasingha, 2024. "Asymmetric shocks of the COVID-19 pandemic on the Australian stock market: Evidence from multiple threshold nonlinear ARDL (MTNARDL) approach," International Economics, Elsevier, vol. 179(C).
  45. Grabowski, Wojciech & Janus, Jakub & Stawasz-Grabowska, Ewa, 2023. "The COVID-19 pandemic and financial markets in Central Europe: Macroeconomic measures and international policy spillovers," Emerging Markets Review, Elsevier, vol. 54(C).
  46. Jorge Omar Razo-De-Anda & Luis Lorenzo Romero-Castro & Francisco Venegas-Martínez, 2023. "Contagion Patterns Classification in Stock Indices: A Functional Clustering Analysis Using Decision Trees," Mathematics, MDPI, vol. 11(13), pages 1-27, July.
  47. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
  48. Éder Pereira & Paulo Ferreira & Derick Quintino, 2022. "Non-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and Comovements," FinTech, MDPI, vol. 1(4), pages 1-8, October.
  49. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
  50. Kumeka Terver Theophilus & Falayi Olabusuyi Rufus & Adedokun Adeniyi Jimmy, 2021. "Does Stock Market Respond to Disease Pandemic? A Case of COVID-19 in Nigeria," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 9(1), pages 86-101, September.
  51. Faik Bilgili & Emrah Koçak & Sevda Kuşkaya, 2023. "Dynamics and Co-movements Between the COVID-19 Outbreak and the Stock Market in Latin American Countries: An Evaluation Based on the Wavelet-Partial Wavelet Coherence Model," Evaluation Review, , vol. 47(4), pages 630-652, August.
  52. Rai, Varun Kumar & Bruna, Maria Giuseppina & Hunjra, Ahmed Imran & Pandey, Dharen Kumar & Lal, Madan, 2024. "COVID-19 literature in Elsevier finance journal ecosystem," Economics Letters, Elsevier, vol. 243(C).
  53. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
  54. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Emmanuel Joel Aikins Abakah, 2023. "US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach," Applied Economics, Taylor & Francis Journals, vol. 55(3), pages 283-292, January.
  55. Kang, Yong Joo & Park, Dojoon & Eom, Young Ho, 2024. "Global contagion of US COVID-19 panic news," Emerging Markets Review, Elsevier, vol. 59(C).
  56. Nick James, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Papers 2101.00576, arXiv.org, revised Feb 2021.
  57. Nhan Huynh & Dat Nguyen & Anh Dao, 2021. "Sectoral Performance and the Government Interventions during COVID-19 Pandemic: Australian Evidence," JRFM, MDPI, vol. 14(4), pages 1-16, April.
  58. Muhammad Naeem Shahid, 2022. "COVID-19 and adaptive behavior of returns: evidence from commodity markets," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-15, December.
  59. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  60. Pattanaporn Chatjuthamard & Pavitra Jindahra & Pattarake Sarajoti & Sirimon Treepongkaruna, 2021. "The effect of COVID‐19 on the global stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4923-4953, September.
  61. Nick James & Max Menzies, 2021. "Efficiency of communities and financial markets during the 2020 pandemic," Papers 2104.02318, arXiv.org, revised Jul 2021.
  62. Burak Pirgaip, 2021. "Pan(dem)ic reactions in Turkish stock market: evidence from share repurchases," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 381-402, June.
  63. Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
  64. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.
  65. Waqas Shair & Sundas Naeem & Farhat Rasul, 2021. "Nexus Of Covid-19 News With Stock Market Returns And Volatility In Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(2), pages 92-99, June.
  66. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
  67. Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
  68. Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022. "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, vol. 79(C).
  69. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  70. Asafo-Adjei, Emmanuel & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2024. "Risk synchronization in Australia stock market: A sector analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 582-610.
  71. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2022. "Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 18-30, September.
  72. Ho, Kung-Cheng & Yao, Chia-ling & Zhao, Chenfang & Pan, Zikui, 2022. "Modern health pandemic crises and stock price crash risk," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 448-463.
  73. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.
  74. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  75. Selamet Herman Cipto & Endri Endri & Yono Haryono & Dhanang Hartanto, 2024. "Islamic Stock Indices and COVID-19: Evidence from Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 83-88, May.
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