Impacts of the COVID-19 pandemic on financial market connectedness

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

doi:10.1016/j.frl.2020.101864

Impacts of the COVID-19 pandemic on financial market connectedness

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

Department of Social Sciences (SSC)

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

167 Citations (Scopus)

Abstract

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 language	English
Article number	101864
Journal	Finance Research Letters
Volume	38
Early online date	25 Nov 2020
DOIs	https://doi.org/10.1016/j.frl.2020.101864
Publication status	Published - Jan 2021

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 3 Good Health and Well-being
SDG 8 Decent Work and Economic Growth
SDG 10 Reduced Inequalities

Keywords

Coronavirus
Financial contagion
Pandemic risk
Network analysis
Systemic risk

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10.1016/j.frl.2020.101864

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published version

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abstract = "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 {\textcopyright} 2020 Elsevier Inc.",

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Impacts of the COVID-19 pandemic on financial market connectedness

Abstract

UN SDGs

Keywords

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