Description
Title: A Case of COVID-19 Pandemic: Cross-Market Correlations and Financial Contagion from Developed to Emerging Economies
Abstract: This study may be regarded as one of the key studies to assess cross-market interactions in the event that the COVID-19 pandemic spreads across various stock markets. The study looks at how contagious effects from developed economies like the US, UK, and Japan spread to a few emerging markets (China, India, Thailand, Taiwan, Egypt, South Africa, Saudi Arabia, and the United Arab Emirates). Three geographical categories—developed economies, Asia, Africa, and the Middle East—are used to group the countries under study. The implementation of the Markov model of regime switching marks the beginning of the crisis. The time-varying multivariate DCC-GARCH model is used to compare the conditional correlations before and after the crisis episode. The results show that while some emerging markets are still unaffected by contagion from developed markets, others are. In general, investors have comparable diversification options in the two regions under consideration (Asia and Africa and the Middle East). The findings are anticipated to support international organizations and policymakers in creating post-crisis measures.
Keywords: co-movement; COVID-19; DCC-GARCH; financial contagion; stock markets
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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