NSU Research Contributions
Title : Stock Market Contagion during the COVID-19 Pandemic in Emerging Economies
Authors : Gazi Salah Uddin, Muhammad Yahya, Gour Goswami, Brian Lucey, and Ali Ahmed
| Journal Title: International Review of Economics & Finance | Volume Number: 79 | Publication Year : 2022 | Issue Number: May |
| Index: scopus | Ranking: Q1 | ISSN: 10590560 | Publisher Name: Elsevier |
| Pages : 302-309 | |||
| Funding Source : None |
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Direct Sustainable Development Goals : SDG8 Decent Work & Economic Growth SDG9 Industry, Innovation & Infrastructure |
Indirect Sustainable Development Goals : SDG3 Good Health & Well-being |
Sustainable Development Sub Goals : Sustain per capita economic growth Strengthen financial institutions’ access and capacity Develop quality, sustainable infrastructure Support infrastructure in developing countries Achieve universal health coverage |
| Impact statement: The purpose of this paper is to examine the interconnected dynamics of the affected Asian financial markets and the global financial markets in relation to the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with the global financial market using a time-varying dependence approach in a time-frequency space during COVID-19. Our findings indicate a strong, positive dependence among the investigated markets due to the COVID-19 outbreak. In addition, we report an increased tendency toward co-movement over a longer horizon, as documented by COVID-19. These findings are of significant interest to market participants, policymakers, and international investors. | Collaboration: Partner University | Keywords: COVID-19; Financial Market; Emerging Markets; China; Copula; Cross-quantilograms |
