Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era

Fateh Belaid (1) , Amine Ben Amar , Stéphane Goutte (2) , Khaled Guesmi (3)

1 LEM - Lille économie management - UMR 9221
2 Cemotev - Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités
3 PSB - Paris School of Business

This article examines the consequences of the COVID-19 crisis on the interdependencies between emerging and advanced economies. Using daily market index data from 22 developed and emerging markets, we develop a combination of statistical methods based on Diebold and Yilmaz spillover index and Toda–Yamamoto and Dolado and Lütkepohl causality approach. The results substantiate an increase in the interdependence between emerging and advances economies, which suggests an increase in the transmission of the stress and uncertainty between financial markets during the pandemic period. Our findings show that the emerging countries are affected by the financial markets of advanced economies during the COVID-19 crisis and, in particular, by European markets, which appear to be the primary driver of contagion and transmission of stress and uncertainty to all other regional markets.

Mots clés: contagion effect; COVID-19; developed economies; emerging economies; equity markets

Domaines: Gestion et management

Fateh Belaid, Amine Ben Amar, Stéphane Goutte, Khaled Guesmi. Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era. International Journal of Finance and Economics, 2021, ⟨10.1002/ijfe.2494⟩. ⟨hal-03273647⟩