Return connectedness across asset classes around the COVID-19 outbreak

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Title

Return connectedness across asset classes around the COVID-19 outbreak

Content partner

Lincoln University

Collection

Lincoln University Research Archive

Description

In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 outbreak. Using the TVP-VAR connectedness approach, the results show that the dynamic total connectedness across the five assets was moderate and quite stable until early 2020. After that, the total connectedness spikes and the structure of the network of connectedness alters, ...

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Format

Research Paper

Research format

Journal article

Date created

2021-01

Creator

Bouri, E / Cepni, O / Gabauer, David / Gupta, R

URL

https://hdl.handle.net/10182/18207

Related subjects

COVID-19 outbreak / financial markets contagion / return connectedness / TVP-VAR / Environment and climate finance / International finance / Health and ecological risk assessment / Accounting, auditing and accountability / Banking, finance and investment / Applied economics

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