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

Youssef, Manel; Mokni, Khaled; Noomen Ajmi, Ahdi

doi:10.1186/s40854-021-00227-3

Public

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

Shared by NobleBlocks on Mar 1, 2021 • 12:00 AM UTC

Authors:

Manel Youssef

Khaled Mokni

Ahdi Noomen Ajmi

Abstract

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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