金融危机和新冠肺炎期间股票市场的传染风险：发达市场和新兴市场的比较

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2022-12-16 DOI:10.47743/saeb-2022-0026

P. Muzindutsi, Akita Sheodin, Joshua Moodley, Khmera Moodley, Mayuri Naidoo, Purusha Ramjiyavan, Rinay Moonsamy, Tiffany Atalia Pillay, Fikile Dube

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引用次数: 1

摘要

本研究比较了全球金融危机（GFC）和新冠肺炎疫情对发达市场和新兴市场之间金融市场传染的影响。DCC-GARCH模型用于测试发达市场和新兴市场的传染效应，使用标准普尔500指数（美国）、富时100指数（英国）、澳交所200指数（澳大利亚）、IBOVESPA指数（巴西）、BSE SENSEX指数（印度）和BVM IPC指数（墨西哥）的周回报率。结果表明，有一个有说服力的案例表明，整合市场以建立有效的金融系统。然而，一个市场发生的危机对任何相关市场都会产生重大影响。研究结果显示，新冠肺炎疫情对所有市场的影响比全球金融危机更严重，在全球金融危机和疫情期间，新兴市场的传染效应比发达市场更明显。因此，新兴市场的政策制定者应该实施减少外部脆弱性和提高市场稳定性的政策，以减少传染的影响。

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Contagion risk in Equity Markets during Financial Crises and COVID-19: A comparison of developed and emerging markets

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 showed that there was a persuasive case made for the integration of markets for efficient financial systems. However, 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, policy makers in emerging markets should implement policies that reduce external vulnerabilities and improve their markets’ stability to reduce the impact of contagion.

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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.