Ấn phẩm:
The financial contagion effects of the Covid-19 pandemic: Evidence from asian developed countries
Tóm tắt
This study investigates the existence and extent of the effect of financial contagion between the Asian developed stock market and the Bitcoin market, as well as between these stock markets and the gold market, during the global Covid-19 period. The time-varying correlation coefficients of DCC-GARCH were tested using daily data from 2016 to 2021. The empirical results show that, with the exception of Japan, the dynamic correlation between stocks and Bitcoin increased significantly during the Covid-19 turmoil period in four developed Asian countries, while the DCCs between stocks and gold increased significantly in three countries, including Japan, Korea and Taiwan, indicating that the global Covid-19 pandemic caused f inancial contagion in the form of a shift in dynamic correlation between stocks and Bitcoin a, as well as between stocks and gold in these countries. However, the magnitude of the increase in DCCs was greater for the stock-Bitcoin pair than for the stock-gold pair, implying that Bitcoin plays a more important role in f inancial contagion transmission than gold and that gold has a greater potential to be considered as a hedge or safe haven tool for Asian developed stock investors in the light of this rapidly escalating pandemic
Mô tả
Tác giả
Dao Le Kieu Oanh PhD
Pham Thi Ngoc Dung
Do Thi Thanh Nhan
Pham Thi Ngoc Dung
Do Thi Thanh Nhan
Tác giả khác
Người hướng dẫn
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Nhà xuất bản
Học viện Tài chính
Năm xuất bản
2022
ISSN tạp chí
Nhan đề tập
Từ khóa chủ đề
Contagion , Cryptocurrency , Gold , Covid-19
Bộ sưu tập
Địa chỉ truy cập
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