Contagion Risk in Equity Markets During Financial Crises and COVID-19: A Comparison of Developed and Emerging Markets
Scientific Annals of Economics and Business
; 69(4):615-629, 2022.
Article
in English
| Web of Science | ID: covidwho-2218294
ABSTRACT
This study compared the impact of the Global Financial Crisis (GFC) and the COVID-19 pandemic on financial market contagion between developed and emerging markets. A DCC-GARCH model was employed to test the contagion effects of developed and emerging markets using weekly returns for the S&P 500 (US), FTSE-100 (UK), ASX 200 (AUS), IBOVESPA (BRA), BSE SENSEX (IND) and BVM IPC (MEX). The results show that there was a persuasive case made for the integration of markets for efficient financial systems. A crisis occurring in one market holds significant repercussions for any of the connected markets. The findings show that the COVID-19 pandemic affected all the markets more severely than the GFC and contagion effects were more pronounced in emerging markets than in developed markets during the GFC and the pandemic. Consequently, policymakers in emerging markets should implement policies that reduce external vulnerabilities and improve their markets' stability to reduce the impact of contagion risk.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Type of study:
Prognostic study
Language:
English
Journal:
Scientific Annals of Economics and Business
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS