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- W4281476379 abstract "Using the Toda-Yamamoto-Dolado-Lütkepohl measure of causality, namely the TYDL procedure, which is reliable whatever the variables’ integration order, this study attempts to investigate the existence of shift contagion effect between a set of global, regional, country and US sectoral indices during the COVID-19 crisis. The empirical findings not only reveal that the Chinese stock index has no influence on the rest of the studied stock market indices during the COVID-19 crisis, but also that the European stock index seems to become the major node influencing the market sentiment and, therefore, the other indices during the crisis." @default.
- W4281476379 created "2022-05-26" @default.
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- W4281476379 date "2022-05-25" @default.
- W4281476379 modified "2023-09-23" @default.
- W4281476379 title "Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test" @default.
- W4281476379 doi "https://doi.org/10.4324/9781003307440-6" @default.
- W4281476379 hasPublicationYear "2022" @default.
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