Abstract

Covid-19 has brought huge fluctuations to world economy and such volatilityis evidently indicated by global stock market. In light of econometric hypotheses, this paper explained the comovement mechanism of global stock markets, made descriptive statistical analysis to the market returns of sample countries with VAR and DCC-GARCH models, and examined the comovement of market returns. The result shows that stock market in Brazil was the most volatile among all sample countries. Meanwhile, after the outbreak, VIX and WTI’s influence on dynamic correlation coefficients increased, showing a positive and significant impact and thereby strengthening the comovement of global stock markets.  

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