Contagion risk in equity markets during financial crises and Covid-19: A comparison of developed and emerging markets

Simple item page
dc.contributor.authorMuzindutsi, Paul-Francois
dc.contributor.authorSheodin, Akita
dc.contributor.authorDube, Fikile
dc.date.accessioned2023-03-22T09:17:15Z
dc.date.available2023-03-22T09:17:15Z
dc.date.issued2022
dc.description.abstractThis 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.en_US
dc.identifier.citationMuzindutsi, P. F. et al. (2022). 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), 2022, 615-629. 10.47743/saeb-2022-0026en_US
dc.identifier.issn2501-3165
dc.identifier.uri10.47743/saeb-2022-0026
dc.identifier.urihttp://hdl.handle.net/10566/8627
dc.language.isoenen_US
dc.publisherAlexandru Ioan Cuza University Pressen_US
dc.subjectCovid-19en_US
dc.subjectPublic healthen_US
dc.subjectGlobal Financial Crisis (GFC)en_US
dc.subjectLabour marketen_US
dc.subjectBusiness sectoren_US
dc.titleContagion risk in equity markets during financial crises and Covid-19: A comparison of developed and emerging marketsen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
muzindutsi_contagion risk in equity markets_2022.pdf
Size:
423.7 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Research Articles (Business and Finance)