Contagion or interdependence Evidence from Asian emerging stock markets in times of COVID-19 pandemic

Bagchi, Bhaskar; Ghosh, Raktim; Kanrar, Avijit

doi:10.1504/gber.2023.128855

GBER

2023

DOI: 10.1504/gber.2023.128855

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Contagion or interdependence Evidence from Asian emerging stock markets in times of COVID-19 pandemic

Bhaskar Bagchi

Raktim Ghosh

Avijit Kanrar

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2024

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Revisiting the economic growth in the shadow of financial stress in times of crisis: evidence from FIGARCH and wavelet coherence approach

Paul,

Ghosh,

Sana

et al. 2024

JEAS

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PurposeThis study empirically investigates the interdependency of select Asian emerging economies along with the financial stress index during the times of the global financial crisis, the Euro crisis and the COVID-19 period. Moreover, it inspects the long-memory effects of the different crises during the study period.Design/methodology/approachTo address the objectives of the study, the authors apply different statistical tools, namely the adjusted correlation coefficient, fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and wavelet coherence model, along with descriptive statistics.FindingsFinancial stress is having a prodigious effect on the economic growth of select economies. From the data analysis, it is found that the long-memory effect is noted in the gross domestic product (GDP) for India and Korea only, which implies that the volatility in the GDP series for these two nations demonstrates persistence and dependency on previous values over a lengthy period.Originality/valueThe study is unique of its kind to consider multi-segments within the period of the study to get a clear idea about the effects of the financial stress index on select Asian emerging economies by applying different econometric tools.

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Revisiting the economic growth in the shadow of financial stress in times of crisis: evidence from FIGARCH and wavelet coherence approach

Paul,

Ghosh,

Sana

et al. 2024

JEAS

View full text Add to dashboard Cite

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Sectoral Dependence and Financial Contagion in the BRICS Grouping: An Application of the R-Vine Copulas

Bonga-Bonga,

Hendriks

2024

Studies in Nonlinear Dynamics &Amp; Econometrics

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This paper presents a novel approach utilising R-Vine copulas and tail dependence structures to distinguish between contagion and interdependence amid equity market interrelation. The approach is applied in the case of BRICS equity markets. Moreover, rather than analysing the equity markets in aggregate, our approach focuses on sectoral levels within BRICS equity markets to examine the nature of interrelation among them. Based on the tail dependence of sectoral equity market volatilities, empirical findings indicate minimal contagion events across various sectors of the BRICS equity markets. These results are corroborated through portfolio optimisation, demonstrating that markets identified as sources of contagion receive lower weights in the portfolio. This paper offers valuable insights for policymakers, investors, and asset managers by shedding light on the interrelationships among different sectors of the BRICS equity markets and the potential investment strategies that can be formulated based on co-movement types between these markets.

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Contagion or interdependence Evidence from Asian emerging stock markets in times of COVID-19 pandemic

Cited by 2 publications

References 0 publications

Revisiting the economic growth in the shadow of financial stress in times of crisis: evidence from FIGARCH and wavelet coherence approach

Revisiting the economic growth in the shadow of financial stress in times of crisis: evidence from FIGARCH and wavelet coherence approach

Sectoral Dependence and Financial Contagion in the BRICS Grouping: An Application of the R-Vine Copulas

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