Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis

Ayesha Sarwat and Dr. Hameeda Akhtar
Additional contact information
Ayesha Sarwat: International Islamic University Islamabad, Pakistan
Dr. Hameeda Akhtar: International Islamic University Islamabad, Pakistan

Bulletin of Business and Economics (BBE), 2023, vol. 12, issue 4, 238-253

Abstract: During times of financial turmoil, when traditional assets experience significant volatility, commodity markets provide diversification benefits to investors. The objective is to investigate the factors influencing financial contagion between the United States and emerging Asian equity markets (China and India). The study analyzes the influential impact of the volatility index, gold, oil, and USD index on financial contagion among the markets. The dynamic conditional correlation analysis is utilized to explore the correlations during the US subprime and Covid-19 crises, and quantile regression analysis is conducted at different levels of time-varying correlations. The study's results suggest that financial contagion becomes more pronounced during periods of financial turmoil, and global financial crises contribute to alterations in the dependence structure between financial contagion among equity markets and global macroeconomic risk factors. The effect of financial contagion can be abridged through altering portfolio reallocation strategies according to investors’ risk appetite during high market volatility.

Keywords: financial contagion; emerging financial markets; financial econometrics; macroeconomic global risk factors (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bbejournal.com/BBE/article/view/593/485 (application/pdf)
https://bbejournal.com/BBE/article/view/593 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfh:bbejor:v:12:y:2023:i:4:p:238-253

DOI: 10.61506/01.00108

Access Statistics for this article

Bulletin of Business and Economics (BBE) is currently edited by Dr. Muhammad Irfan Chani

More articles in Bulletin of Business and Economics (BBE) from Research Foundation for Humanity (RFH) Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Muhammad Irfan Chani ().