Volatility and risk contagion of international stock market in the context of COVID-19

Abstract

In order to reveal the impact of the outbreak of COVID-19 epidemic on risk contagion in the international stock market, this paper establishes an ARMA-GARCH-Copula model based on the R-Vine structure to empirically analyze the stock index data of 19 important countries(regions) around the world, and uses complex network to display the risk contagion path. This research shows that the risk contagion correlation of the global stock market has significantly improved due to the impact of COVID-19; The correlation of risk transmission among European countries is significantly higher than that of other regions, reflecting a closer integration connection between EU countries; Finally, unlike previous literature, this article finds that stock market of Hong Kong in China has become an important node in the international stock market, playing an important role in the risk network before and after the epidemic.