Financial Contagion During Global Financial Crisis and Covid–19 Pandemic: The Evidence From Dcc–garch Model

Nguyen, Thi Ngan; Phan, Thi Kieu Hoa; Nguyen, Liem Van

doi:10.1080/23322039.2022.2051824

Cited by 26 publications

(15 citation statements)

References 29 publications

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“…A1, severe fluctuations for the selected countries occur approximately in 2008 and 2020, representing the crisis period for the GFC and COVID-19 pandemic, as observed by Gunay and Can (2022). This study selected 12/31/2004 to 8/31/2007 as the pre-crisis GFC period, while the crisis period spans from 09/28/2007 to 12/25/2009, similar to the findings of Dominguez et al (2012) and Nguyen et al (2022). While there is uncertainty regarding the official date of the pandemic, COVID-19 was officially declared a global public health emergency by the World Health Organization (WHO) in January 2020, hence the pre-crisis and crisis period is defined as 04/06/2018 to 12/06/2019 and 01/03/2020 to 12/18/2020 respectively (Chang et al, 2020).…”

Section: Data and Sample Selectionsupporting

confidence: 55%

“…The GFC was considered as an issue in the US market, however it led to monumental damage in financial and banking sectors globally (Lustig & Mariscal, 2020). Similarly, COVID-19 was initially confined to China, however, given the major role of the Chinese economy in the global GDP, interferences in their markets imposed global spillovers prior to the spread of the virus itself (Lustig & Mariscal, 2020;Nguyen et al, 2022).…”

Section: Introductionmentioning

confidence: 99%

“…Similar to how the emergence of COVID-19 and its subsequent quarantine requirements led to the deceleration of global supply chains which dampened consumer demand and resulted in a global concern of contagion, the oil price fluctuations caused by the GFC lead to a decline in demand, causing global market instability (Lustig & Mariscal, 2020;Pilloni et al, 2022). Given the comparisons of the two crises, previous studies observed the effects of the COVID-19 pandemic to be more severe than that of the GFC (Li et al, 2022;Verick et al, 2022), while others found the contrary to be true (Brania & Gurgul, 2021;Nguyen et al, 2022). While the GFC and COVID-19 differ in origin and the channels by which they are spread, a comparison of the impact two crises had on equity markets is certainly one of interest, which necessitates further investigation (Brania & Gurgul, 2021).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

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

Muzindutsi

Sheodin

Moodley

et al. 2022

Sci. Ann. Econ. Bus.

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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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Section: Data and Sample Selectionsupporting

confidence: 55%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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

Muzindutsi

Sheodin

Moodley

et al. 2022

Sci. Ann. Econ. Bus.

View full text Add to dashboard Cite

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“… 2022 ), or both the Global Financial Crisis and the Covid-19 Pandemic (Nguyen et al. 2022 ). Overall, all the aforementioned studies find that during periods of market turmoil or economic shocks, financial markets react by spreading volatility effects across different markets and countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Intelligent design: stablecoins (in)stability and collateral during market turbulence

et al. 2023

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How does stablecoin design affect market behavior during turbulent periods? Stablecoins attempt to maintain a “stable” peg to the US dollar, but do so with widely varying structural designs. The spectacular collapse of the TerraUSD (UST) stablecoin and the linked Terra (LUNA) token in May 2022 precipitated a series of reactions across major stablecoins, with some experiencing a fall in value and others gaining value. Using a Baba, Engle, Kraft and Kroner (1990) (BEKK) model, we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse, likely partially due to herding behavior among traders. We test the varying reactions among stablecoins and find that stablecoin design differences affect the direction, magnitude, and duration of the response to shocks. We discuss the implications for stablecoin developers, exchanges, traders, and regulators.

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“…The Digital Command Control (DCC) model is applied to examine volatility and conditional correlation between emerging financial markets during the GFC and the COVID-19 pandemic. [2] This literature focuses on the financial markets in the context of COVID-19. However, these aggregates tend to treat COVID-19 only as a given and do not specifically analyze the impact of COVID-19 on specific financial products and the economic environment.…”

Section: Introductionmentioning

confidence: 99%

The COVID-19 and Dynamics in Cryptocurrencies: An empirical evidence

Chen¹,

Wu²

2022

BCPBM

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The coronavirus pandemic occurred in 2019 and caused an impact on cryptocurrencies. This paper focuses on the relation between the return of cryptocurrencies and the new daily confirmed cases of COVID-19 worldwide, taking Bitcoin, Ethereum, and Tether as three examples. It is shown that the new daily cases have a significant influence on Bitcoin and Ethereum. And the short-term impact of new global confirmed cases on Bitcoin is positive, then remains volatile and eventually disappears. The different phenomena show that different cryptocurrencies have reacted differently to the pandemic impact.

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Financial Contagion During Global Financial Crisis and Covid–19 Pandemic: The Evidence From Dcc–garch Model

Cited by 26 publications

References 29 publications

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

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

Intelligent design: stablecoins (in)stability and collateral during market turbulence

The COVID-19 and Dynamics in Cryptocurrencies: An empirical evidence

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