Impacts of the COVID-19 pandemic on financial market connectedness

Mike K. P. SO, Man Ying Amanda CHU, Thomas W. C. CHAN

Research output: Contribution to journalArticlespeer-review

115 Citations (Scopus)


In this paper, we study the impacts of the COVID-19 pandemic on the connectedness of the Hong Kong financial market. We construct dynamic financial networks based on correlations and partial correlations of stock returns to assess the impacts of COVID-19 and to compare the impacts in the previous financial crises in the past 15 years. Compared to other crises where the network density and clustering can be explained by co-movement with market indices as in normal periods, both network density and clustering are higher in the partial correlation networks during the COVID-19 outbreak. Copyright © 2020 Elsevier Inc.
Original languageEnglish
Article number101864
JournalFinance Research Letters
Early online date25 Nov 2020
Publication statusPublished - Jan 2021


So, M. K. P., Chu, A. M. Y., & Chan, T. W. C. (2021). Impacts of the COVID-19 pandemic on financial market connectedness. Finance Research Letters, 38. Retrieved from


  • Coronavirus
  • Financial contagion
  • Pandemic risk
  • Network analysis
  • Systemic risk


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