Contagion Effect of Financial Markets in Crisis: An Analysis Based on the DCC–MGARCH Model

Global crises have created unprecedented challenges for communities and economies across the world, triggering turmoil in global finance economy. This study adopts dynamic conditional correlation multiple generalized autoregressive heteroskedasticity (DCC–MGARCH) model to explore contagion effects financial markets crisis. The main findings are as follows: (1) crisis COVID-19 pandemic intensified connection between Chinese US stock short term; (2) correlations (DCCs) during higher than those 2008 owing further opening of capital market, institutions’ investments European market American markets; (3) a stepwise increase is observed returns on S&P 500 Index SSEC after onset destructive crisis; (4) unidirectional effect exists Hong Kong contributes risk spillover. Effective transmission channels external negative shocks may be investors’ sentiments, institutions, RMB exchange rate markets. provides useful suggestions authorities formulating regulations investors diversifying investments.