Contagion in Global Stock Markets during the COVID-19 Crisis

The impact of the coronavirus disease (COVID-19) outbreak on global stock markets is investigated by analyzing the impact of the COVID-19 pandemic on the stock markets of 15 countries selected from Asia, Europe, Latin America, and North America. Using extremal dependence tests of contagion, it is found that contagion effects are widespread to global equity markets in four regions. Latin America and North America are highly exposed to contagion risks, followed by Europe, with Asia being least vulnerable. Based on the time window of the crisis severity index, it is found that Latin America is most likely to be affected. The results confirm that for countries with more severe epidemics, there are stronger contagion effects. Therefore, for the governing authorities of various countries, if they want to prevent the contagion of financial crises during the pandemic, strong and timely epidemic prevention measures are very necessary.