Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test

被引：15

作者：

Ben Amar, Amine ^{[1
]}

Hachicha, Nejib ^{[2
]}

Halouani, Nihel ^{[3
]}

机构：

[1] UIR, RBS Coll Management, Rabat, Morocco

[2] Univ Sfax, FSEGS, Sfax, Tunisia

[3] Univ Sfax, ISAAS, Sfax, Tunisia

来源：

INTERNATIONAL REVIEW OF APPLIED ECONOMICS | 2021年 / 35卷 / 02期

关键词：

COVID-19; stock markets; shift contagion; TYDL procedure; TIME-SERIES; UNIT-ROOT;

D O I：

10.1080/02692171.2020.1853685

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using the Toda-Yamamoto-Dolado-Lutkepohl measure of causality, namely the TYDL procedure, which is reliable whatever the variables' integration order, this study attempts to investigate the existence of shift contagion effect between a set of global, regional, country and US sectoral indices during the COVID-19 crisis. The empirical findings not only reveal that the Chinese stock index has no influence on the rest of the studied stock market indices during the COVID-19 crisis, but also that the European stock index seems to become the major node influencing the market sentiment and, therefore, the other indices during the crisis.

引用

页码：188 / 209

页数：22

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