Abstract:A very important area where COVID-19 has seriously disrupted is the global financial markets, where stock markets have experienced great turmoil. To shed light on the nature of this turmoil and to characterize nonlinear dynamics in inter-market risk transmission, we formally test the existence of inter-stock market contagion, identify the main channel once the presence of contagion has been established, and assess the upside and downside risk spillovers dynamically focusing on complexity during pre-COVID-19 an… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.