Contagion effect of the first wave of SARS-CoV-2 on the stock markets of the G20 economies
DOI:
https://doi.org/10.29201/peipn.v17i35.95Keywords:
SARS-CoV-2, contagion effect, EGARCH model, DCC-GARCH modelAbstract
This paper analyzes the transmission of the variance volatility among the stock markets that make up the G20 during the first wave of SARS-CoV-2. Also validate the existence of a contagion effect. To do this, first, the symmetric and asymmetric models of heteroscedastic conditional variance are used to determine the magnitude of the impact of the virus on the sample of the stock market indices analyzed; secondly, to validate the existence of the contagion effect, the DCC-GARCH model is used. With these methodologies, evidence was found that the first wave of the virus generated a scenario of stock market instability accompanied by a high degree of volatility that was transmitted from the more developed financial markets to the less developed ones.
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