Monday, March 9, 2020

Corona Virus and the Global Stock Market Volatility Connectedness

The global stock market volatility connectedness index ( increased by 13 percentage points (from 56 to 69%)  from Friday, February 21 to Monday, March 2.  Even though the markets showed very little reaction to the news about the spread of the coronavirus in China and other countries early on (only a 2-percentage-point increase in the index from January 21 to February 21), the index moved up rather fast following the spread of the virus in Europe and the US.  US and European markets took the lead in generating volatility connectedness to other stock markets around the world. As of Friday, March 6, the index was hovering around 68%. We will update the connectedness index tomorrow to incorporate today's across-the-board drop in markets around the world.