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.
CitationSo, 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 https://doi.org/10.1016/j.frl.2020.101864
- Financial contagion
- Pandemic risk
- Network analysis
- Systemic risk