Okorie David Iheke, Lin Boqiang
Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, 422 South Siming Road, Xiamen, 361005, China.
School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Fujian, 361005, China.
Financ Res Lett. 2021 Jan;38:101640. doi: 10.1016/j.frl.2020.101640. Epub 2020 Jun 6.
This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets. The stock market information of the top 32 coronavirus affected economies (as of 31st March 2020) was sampled for ex-ante and ex-post COVID-19 outbreak analysis using the Detrended Moving Cross-Correlation Analysis (DMCA) and Detrended Cross-Correlation Analysis (DCCA) techniques. The results confirm a fractal contagion effect of the COVID-19 pandemic on the stock markets. Furthermore, this fractal contagion effect fizzles out over time (in the middle and long run) for both the stock markets return and volatility. Therefore, this article provides pieces of evidence for the COVID-19 fractal contagion effect on the stock markets.
本文研究了新冠疫情对股票市场的分形传染效应。选取了受新冠病毒影响最严重的32个经济体（截至2020年3月31日）的股票市场信息，运用去趋势移动互相关分析（DMCA）和去趋势互相关分析（DCCA）技术，对新冠疫情爆发前后进行了抽样分析。结果证实了新冠疫情对股票市场存在分形传染效应。此外，从股票市场回报和波动性两方面来看，这种分形传染效应会随着时间推移（在中长期）逐渐消失。因此本文为新冠疫情对股票市场的分形传染效应提供了证据。
