COVID-19 and stock markets comovement in emerging Europe

Abstract

Abstract This study analyzes the stock market’s comovement between eleven Eastern European countries in the pre-COVID-19 and COVID-19 period with the USA and China. The methodology used is the wavelet analysis and subsequently the Toda Yamamoto causality test for robustness. This study improves literature by analyzing the ante and COVID-19 crisis period for Eastern European stock markets in relation to the USA and China. The results show that the COVID-19 crisis has generated an increase in the degree of interdependence with USA stock from medium and long to short term; in relation to China stock, if COVID-19 ante there were no links, during the crisis they began to manifest in the medium and long term.