Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic

Renée Fry-McKibbin; Matthew Greenwood-Nimmo; Cody Yu Ling Hsiao; Lin Qi

doi:10.1016/j.frl.2021.102150

Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic

Renée Fry-McKibbin, Matthew Greenwood-Nimmo, Cody Yu Ling Hsiao^*, Lin Qi

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

21 Citations (Scopus)

Abstract

We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.

Original language	English
Article number	102150
Journal	Finance Research Letters
Volume	45
DOIs	https://doi.org/10.1016/j.frl.2021.102150
Publication status	Published - Mar 2022

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title = "Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic",

abstract = "We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.",

keywords = "Comoment contagion tests, Financial contagion",

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AU - Hsiao, Cody Yu Ling

AU - Qi, Lin

PY - 2022/3

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N2 - We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.

AB - We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find evidence of contagion through equity market tail risk in early 2020 followed by widespread evidence of contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that global equity markets may be exposed to unpriced pandemic risk factors with implications for portfolio diversification, risk management and financial stability.

KW - Comoment contagion tests

KW - Financial contagion

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Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic

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