Emerging and advanced economies markets behaviour during the COVID-19 crisis eraStephane GOUTTE, Khaled GUESMI, Fateh BELAID, Amine BEN AMAR
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.