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This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown. Our results from the quantile cross-spectral analysis and tail-dependency networks show increases in the network density in both lower and upper joint distributions of asset returns. Particularly, we observe an asymmetric impact of the Covid-19 because the left-tail dependencies become stronger and more prevalent than the right-tail dependencies. The cross-asset tail-dependency of equity, currency and commodity also increases considerably, especially in the left-tail, implying a higher degree of tail contagion effects. Meanwhile, Bitcoin and US Treasury bonds are disconnected from both tail-dependency networks, which suggests their safe-haven characteristics.
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10.1016/j.frl.2020.101800
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document_parses/pdf_json/77d7e1a9e0ab9e8cfee5ac5f53a5ffd461e7b7ea.json
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document_parses/pmc_json/PMC7572436.xml.json
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Covid-19 Pandemic and Tail-Dependency Networks of Financial Assets
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