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

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dc.contributor.authorFry-McKibbin, Renee
dc.contributor.authorGreenwood-Nimmo, Matthew
dc.contributor.authorHsiao, Yu-Ling
dc.contributor.authorQi, Lin
dc.date.accessioned2022-11-03T00:08:16Z
dc.date.issued2021
dc.date.updated2021-11-28T07:26:20Z
dc.description.abstractWe 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.en_AU
dc.description.sponsorshipThe authors acknowledge ARC Discovery Project DP200101963 and the Macau SAR Government Higher Education Fund (HSS-MUST-2020- 11)en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn1544-6123en_AU
dc.identifier.urihttp://hdl.handle.net/1885/277975
dc.language.isoen_AUen_AU
dc.provenancehttps://v2.sherpa.ac.uk/id/publication/16836..."The Accepted Version can be archived in an Institutional Repository. 24 Months. CC BY-NC-ND." from SHERPA/RoMEO site (as at 10/01/2023).
dc.publisherElsevier BVen_AU
dc.relationhttp://purl.org/au-research/grants/arc/DP200101963en_AU
dc.rights© 2021 Elsevier Inc.en_AU
dc.rights.licenseCC BY-NC-ND
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.sourceFinance Research Lettersen_AU
dc.subjectFinancial contagionen_AU
dc.subjectComoment contagion testsen_AU
dc.titleHigher-order comoment contagion among G20 equity markets during the COVID-19 pandemicen_AU
dc.typeJournal articleen_AU
dcterms.accessRightsOpen Access
local.bibliographicCitation.lastpage9en_AU
local.bibliographicCitation.startpage1en_AU
local.contributor.affiliationMcKibbin, Renee, College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationGreenwood-Nimmo, Matthew, University of Melbourneen_AU
local.contributor.affiliationHsiao, Yu-Ling, College of Business and Economics, ANUen_AU
local.contributor.affiliationQi, Lin, College of Asia and the Pacific, ANUen_AU
local.contributor.authoruidMcKibbin, Renee, u4036214en_AU
local.contributor.authoruidHsiao, Yu-Ling, u4450654en_AU
local.contributor.authoruidQi, Lin, u6072286en_AU
local.description.embargo2024-03-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350203 - Financial econometricsen_AU
local.identifier.absfor380110 - International economicsen_AU
local.identifier.absseo150299 - Macroeconomics not elsewhere classifieden_AU
local.identifier.ariespublicationa383154xPUB19909en_AU
local.identifier.citationvolume45en_AU
local.identifier.doi10.1016/j.frl.2021.102150en_AU
local.identifier.scopusID2-s2.0-85107268232
local.publisher.urlhttps://www.elsevier.com/en-auen_AU
local.type.statusAccepted Versionen_AU

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