The contagion effect of COVID-19 on stock markets

被引：4
|
作者：
Wang, Kuan-Min [1 ]
机构：
[1] Overseas Chinese Univ, Dept Finance, 100 Chiao Kwang Rd, Taichung 40721, Taiwan
来源：
JOURNAL OF STATISTICS AND MANAGEMENT SYSTEMS | 2022年 / 25卷 / 06期
关键词：
Contagion effect; COVID-19; Stock markets; DCC-GARCH model; UNIT-ROOT; TIME-SERIES;
D O I：
10.1080/09720510.2021.1972621
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This article uses the global cases of COVID-19 and nine types of Morgan Stanley Capital International (MCSI) stock indexes to test the contagion effect and the impact duration of COVID-19 on the stock market between Jan 23 - Apr 14, 2020. It uses the bivariate dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the DCC coefficient and uses the forward forecasting test on the DCC to test the contagion effect. The empirical results show that COVID-19 has a continuous contagion effect on the ASEAN, emerging, Far-East, European with Middle Eastern, and Nordic markets, and no contagion effect on the World index, developed, and North American markets. However, the contagion effect disappears after March 12-23.
引用
收藏
页码：1379 / 1398
页数：20
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