FINANCIAL CONTAGION DURING GLOBAL FINANCIAL CRISIS AND COVID–19 PANDEMIC: THE EVIDENCE FROM DCC–GARCH MODEL

This paper is the first study to examine financial contagion from U.S., Japanese and Chinese markets Asian during Global Financial Crisis (GFC) Covid-19 Pandemic Crisis. We employ DCC-EGARCH methodology daily data of stock returns 2005 2021 estimate time-varying correlations volatilities markets. Our results show that correlation between U.S. with emerging ones quite high, implying interdependence these Furthermore, we find significant effects equity market in both advanced economies GFC. Nonetheless, pandemic, only 3 out 10 had experienced findings also suggest are not strongly related level global integration seem be more affected by Japan China.