相互依存
2019年冠状病毒病(COVID-19)
波动性(金融)
库存(枪支)
大流行
货币经济学
中国
金融经济学
经济
股票市场
综合指数
新兴市场
计量经济学
业务
综合指标
地理
内科学
财务
医学
传染病(医学专业)
法学
疾病
背景(考古学)
政治学
考古
作者
Bhaskar Bagchi,Raktim Ghosh,Avijit Kanrar
出处
期刊:Global Business and Economics Review
[Inderscience Enterprises Ltd.]
日期:2023-01-01
卷期号:28 (2): 155-155
标识
DOI:10.1504/gber.2023.128855
摘要
This study examines the presence of contagion effect along with interdependency between the stock markets of Asian emerging economies like China, India, South Korea, Indonesia, Hong Kong, and Thailand that are caused due to COVID-19 pandemic. The study employs an adjusted correlation coefficient along with the DCC-MGARCH model to capture the contagion effect or interdependency between Shanghai Composite and other select stock markets. Mild enhancement of short-run volatility (DCCα1) is found to be significant under the DCC framework during COVID-19 period only, although long-run volatility is insignificant in both periods. Contagion effect can be slightly traced in BSE Sensex, KOSPI, and SET 100 while market co-movement remains same for Hang Seng and JKSE Composite and thus they are interdependent with Shanghai Composite. Interestingly, adjusted correlation coefficients between Shanghai Composite and other stock markets increased substantially during COVID-19 period indicating the presence of high contagion effect amongst the markets.
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