Stock markets and the COVID-19 fractal contagion effects

• Published in: Finance research letters Vol. 38; p. 101640
• Main Authors: Okorie, David Iheke, Lin, Boqiang
• Format: Journal Article
• Language: English
• Published: Netherlands Elsevier Inc 01.01.2021
• Subjects: Contagion; Cross-correlation; Return; Stock markets; Volatility; P34; Contagion; Return; O16; Volatility; F36; N20; Stock markets; Cross-correlation

•This paper investigates the fractal contagion effects of COVID-19 on the Stock Markets.•The DMCA and DCCA techniques are used to test the fractal contagion hypothesis.•Found significant fractal contagion effects on the stock markets return and volatility.•The COVID-19 fractal contagion effects on t...