文章基本信息

标题：The Contagion Effect from U.S. Stock Market to the Vietnamese and the Philippine Stock Markets: The Evidence of DCC - GARCH Model
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作者：Thao Phan Thi Dieu LE ; Hieu Luong Minh TRAN
期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2021
卷号：8
期号：2
页码：759-770
DOI：10.13106/jafeb.2021.vol8.no2.0759
语种：English
出版社：Korean Distribution Science Association
摘要：Using a DCC - GARCH model analysis, this paper examines the existence of financial contagion from the U.S. stock market to the Vietnamese and the Philippine stock markets during the global financial crisis and the COVID-19 pandemic crisis. We use daily data from the S&P 500 (U.S.), VN-Index (Vietnam), and the PSEi (the Philippines). As a result, there is no evidence of contagion from the U.S stock market to the Philippine stock market that can be found during global financial crisis, while the Vietnamese market is influenced by this effect. Besides, both these developing stock markets (the Vietnamese and Philippine stock markets) are influenced by the contagion effect in COVID-19 pandemic crisis. Another finding is that the contagion effect during the coronavirus pandemic crisis in Vietnam is smaller than that during the global financial crisis, however, the opposite is the case for the Philippines. It is noticed that the Philippines seems to be more affected by the contagion effect from the COVID-19 pandemic than Vietnam at the time of this study. Because financial contagion is important for monetary policy, asset pricing, risk measurement, and portfolio allocation, the findings in this paper may give some useful information for policymakers and investors.
关键词：Contagion;COVID-19;Financial Crisis;DCC - GARCH;Stock Market