Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic: A time-varying copula approach

Abstract

AbstractThis paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of a contagion effect between China and all countries except United States America, Argentina and Turkey during the COVID-19 period. In particular, the Chinese stock market exhibits the highest level of dependence with the Asian and European stock markets in addition to the greatest variability in dependence. These findings are interesting and have important implications for several financial applications.

Keywords

• COVID-19 pandemic
• contagion effect
• contagion intensity
• G20 stock markets
• time-varying copula
• G1