 FINANCIAL CONTAGION DURING GLOBAL FINANCIAL CRISIS AND COVID–19 PANDEMIC: THE EVIDENCE FROM DCC–GARCH MODELThi Ngan Nguyen, Thi Kieu Hoa Phan, Thanh Liem Nguyen and David McMillan Cogent Economics & Finance, 2022, vol. 10, issue 1, 2051824 Abstract: This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate the time-varying correlations and the volatilities of stock markets. Our results show that the correlation between the U.S. and Japanese markets with emerging Asian ones is quite high, implying the interdependence between these markets. Furthermore, we find significant contagion effects from the U.S. equity market to markets in both advanced and emerging economies during the GFC. Nonetheless, during the Covid-19 pandemic, only 3 out of 10 Asian emerging markets had experienced the contagion from the U.S. Our findings also suggest that contagion effects are not strongly related to the level of global integration and Asian markets seem to be more affected by the contagion from Japan and China. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2051824 Ordering information: This journal article can be ordered from DOI: 10.1080/23322039.2022.2051824 Access Statistics for this article Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang More articles in Cogent Economics & Finance from Taylor & Francis Journals |
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