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

This study compared the impact of Global Financial Crisis (GFC) and COVID-19 pandemic on financial market contagion between developed emerging markets. A DCC-GARCH model was employed to test effects markets using weekly returns for S&P 500 (US), FTSE-100 (UK), ASX 200 (AUS), IBOVESPA (BRA), BSE SENSEX (IND) BVM IPC (MEX). The results showed that there a persuasive case made integration efficient systems. However, crisis occurring in one holds significant repercussions any connected findings show affected all more severely than GFC were pronounced during pandemic. Consequently, policy makers should implement policies reduce external vulnerabilities improve their markets’ stability contagion.