Sobreira, NunoMendes, Guilherme Luís Simões2023-12-122023-12-122023-11Mendes, Guilherme Luís Simões (2023). “Global crises and market turmoil : exploring financial contagion”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestãohttp://hdl.handle.net/10400.5/29581Mestrado Bolonha em Mathematical FinanceThis 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.engFinancial ContagionVAR ModelsMultivariate GARCH ModelsMarket ShocksTime Series Analysismaster thesis