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Connectedness among regional financial markets in the context of the COVID-19

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Ben Amar, Amine | Bélaïd, Fateh | Ben Youssef, Adel | Guesmi, Khaled

Edité par HAL CCSD ; Taylor & Francis (Routledge): SSH Titles

International audience. In this paper, a spillover index measure is used to explore the extent of the connectedness among a set of six regional stock markets over nearly 8 years from 25 June 2012, to 11 May 2020. Results show that financial markets reacted in largely the same way to the significant economic uncertainty caused by COVID-19, and provide striking evidence of the disconnect between the American emerging market and the global financial markets.

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