A carregar...
Publicação
Global crises and market turmoil : exploring financial contagion
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 4.71 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This study investigates the financial contagion effects of the COVID-19 pandemic
and Russia’s invasion of Ukraine on global stock markets. The research focuses on five
key stock market indices: SSE (Shanghai Stock Exchange), MOEX (Moscow Exchange),
SX5E (Euro Stoxx 50), SPX (S&P 500), and NIFTY50 (National Stock Exchange Fifty).
Utilizing the Vector Autoregressive Multivariate General Autoregressive Conditional Heteroskedasticity
(VAR-MGARCH) modelling aproach, the study analyzes the conditional
standard deviations and correlations between these indices to provide insights into their
volatility and interdependencies.
The findings reveal significant increases in volatility across all indices during the initial
outbreak and global spread of the COVID-19 virus and the subsequent Russian invasion
of Ukraine. The study also observes distinct patterns in the correlations among the
indices, shedding light on their interdependencies and the potential for financial spillover
effects. The results underscore the interconnectedness of global financial markets and the
potential for localized economic events to have far-reaching impacts, providing crucial
insights for investors, policymakers, and financial regulators.
The study concludes by highlighting the importance of international cooperation in
managing financial contagion and the need for effective risk management strategies in the
face of global crises.
Descrição
Mestrado Bolonha em Mathematical Finance
Palavras-chave
Financial Contagion VAR Models Multivariate GARCH Models Market Shocks Time Series Analysis
Contexto Educativo
Citação
Mendes, Guilherme Luís Simões (2023). “Global crises and market turmoil : exploring financial contagion”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão