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

Amar, Amine Ben; Hachicha, Néjib; Halouani, Nihel

doi:10.1080/02692171.2020.1853685

Cited by 15 publications

(11 citation statements)

References 26 publications

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“…Indeed, results show that, compared to the tranquil period, the COVID-19 crisis period is characterized by a higher total spillover index among regional stock markets (70.4% during the COVID-19 crisis period versus 49% before the crisis period). The results reveal not only an increase in the total spillover among regional stock markets during the COVID-19, but also a change in the magnitude of directional spillovers between the two periods, reflecting shift contagion 7 during the COVID-19 crisis period, which is consistent with the results of Ben Amar, Bélaïd, Ben Youssef, and Guesmi (2020), Ben Amar, Bélaïd, Ben Youssef, Chiao, and Guesmi (2020) and Ben Amar, Hachicha, and Halouani (2020). Before the COVID-19 crisis period, the North American stock market [NAM] seems to have a significant influence on the rest of the regional stock market indices.…”

Section: Spillover Analysissupporting

confidence: 87%

Emerging and advanced economies markets behaviour during the COVID‐19 crisis era

et al. 2021

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This article examines the consequences of the COVID‐19 crisis on the interdependencies between emerging and advanced economies. Using daily market index data from 22 developed and emerging markets, we develop a combination of statistical methods based on Diebold and Yilmaz spillover index and Toda–Yamamoto and Dolado and Lütkepohl causality approach. The results substantiate an increase in the interdependence between emerging and advances economies, which suggests an increase in the transmission of the stress and uncertainty between financial markets during the pandemic period. Our findings show that the emerging countries are affected by the financial markets of advanced economies during the COVID‐19 crisis and, in particular, by European markets, which appear to be the primary driver of contagion and transmission of stress and uncertainty to all other regional markets.

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Section: Spillover Analysissupporting

confidence: 87%

Emerging and advanced economies markets behaviour during the COVID‐19 crisis era

et al. 2021

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“…Stage 4 completes the study's calculation by finding the direction of causalities between Y and X 3-10 (2015-2019 model) and Y and X 1-10 (2020 model). The Toda-Yamamoto causality test [107] is used, as previously practiced in investigating causal linkages between economic parameters and non-economic influences of exogenous factors, including the COVID-19 pandemic, by Belaid et al [108], Erokhin and Gao [62], Ben Amar et al [109], Amiri and Ventelou [110], and Soytas et al [111]. The TY value demonstrates a strong causality link between the variables in case of the significance at 1% level (5%-above average, 10%-average, all other cases-weak).…”

Section: Methodology Frameworkmentioning

confidence: 99%

Has the COVID-19 Pandemic Affected Maritime Connectivity? An Estimation for China and the Polar Silk Road Countries

et al. 2021

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In light of about 80% of international freight traffic carried by sea, maritime supply chains’ stability is pivotal to global connectivity. For over a year now, the transboundary mobility of vessels and cargoes has been restricted by diverse forms of the COVID-19 containment measures applied by national governments, while the lockdowns of people, businesses, and economic activities have significantly affected the growth prospects of various maritime connectivity initiatives. This study investigates how the pandemic-related public health, trade, and market factors have shifted the connectivity patterns in the Polar Silk Road (PSR) transport corridor between China, South Korea, Japan, Russia, and four economies of Northern Europe. The causality links between the Shipping Connectivity Index (SCI) and the number of COVID-19 cases and deaths, trade volumes with China and the rest of the world, and price indexes of minerals, fuels, food, and agricultural products are revealed separately for eight countries and thirty-five ports. The study algorithm is built on the consecutive application of the Augmented Dickey-Fuller (ADF) and the Phillips-Perron (PP) stationarity tests, the Autoregressive Distributed Lag (ARDL) method, the Fully-Modified Ordinary Least Squares (FMOLS) and the Dynamic Ordinary Least Squares (DOLS) robustness checks, and the Toda-Yamamoto causality test. Tight trade-connectivity links are recorded in all locations along the China-PSR transport corridor in 2015–2019, but in 2020, the relationships weakened. Bidirectional influences between the number of COVID-19 cases and connectivity parameters demonstrate the maritime sector’s sensitivity to safety regulations and bring into focus the role of cargo shipping in the transboundary spread of the virus. The authors’ four-stage approach contributes to the establishment of a methodology framework that may equip stakeholders with insights about potential risks to maritime connectivity in the China-PSR maritime trade in the course of the pandemic.

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“…This has caused increase in the transmission of the COVID-19 effects. [113] The European stock markets are causing shift contagion in the stock market linkages around the world. [114] Bad news have more effect than the good news.…”

Section: Table 14 Herding Spill Over and Connectednessmentioning

confidence: 99%

Response of Financial Markets to COVID-19 Pandemic: A Review of Literature on Stock Markets

Fianto

Ridhwan²,

Shah³

et al. 2022

Emerg Sci J

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The objective of this research is to consolidate the literature published on the COVID-19 crisis impact on global stock markets to gain managerial implications from the crisis. It performs a thematic bibliometric review of the literature published in Scopus-ranked journals since the beginning of the pandemic using FCWI, Piecharts, and VOSViewer. It identifies the most under-researched regions and eight emerging sub-themes. The research finds that the benchmark theme is market behavior during the COVID-19 crisis, whereas an emerging benchmark theme is the markets after the COVID-19 crisis. The holistic view of the literature supporting eight sub-themes suggests that the government's role is of utmost importance to handle the impact of the COVID-19 crisis, which should be industry-specific. It identifies that all eight sub-themes of the research are the future research directions in all and specifically in the South American, African, South East Asian, and Oceania regions till the crisis continues. Doi: 10.28991/ESJ-2023-SPER-03 Full Text: PDF

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

Cited by 15 publications

References 26 publications

Emerging and advanced economies markets behaviour during the COVID‐19 crisis era

Emerging and advanced economies markets behaviour during the COVID‐19 crisis era

Has the COVID-19 Pandemic Affected Maritime Connectivity? An Estimation for China and the Polar Silk Road Countries

Response of Financial Markets to COVID-19 Pandemic: A Review of Literature on Stock Markets

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