Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

Abstract This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR)...

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Bibliographic Details
Main Authors: Manel Youssef, Khaled Mokni, Ahdi Noomen Ajmi
Format: Article
Language:English
Published: SpringerOpen 2021-03-01
Series:Financial Innovation
Subjects:
Stock markets
Dynamic connectedness
COVID-19 pandemic
Economic policy uncertainty
TVP-VAR model
Online Access:https://doi.org/10.1186/s40854-021-00227-3

Internet

https://doi.org/10.1186/s40854-021-00227-3

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