Journal of Siberian Federal University. Humanities & Social Sciences / Financial Contagion of Stock Markets from the Oil Market: DCC GARCH Analysis

Full text (.pdf)
Issue
Journal of Siberian Federal University. Humanities & Social Sciences. 2024 17 (12)
Authors
Malkina, Marina Yu.
Contact information
Malkina, Marina Yu.: Lobachevsky State University of Nizhny Novgorod Nizhny Novgorod, Russian Federation; ; ORCID: 0000‑0002‑3152‑3934
Keywords
financial contagion; COVID‑19 pandemic; global energy crisis; Brent oil futures; stock indices; DCC GARCH model
Abstract

In the context of financial globalization, the transmission of turbulence from one market to another is intensifying, which is called financial contagion. The article analyses the transmission of contagion from the world oil market to the stock markets of different countries during the COVID‑19 pandemic and new anti‑Russian sanctions, accompanied by global energy and food crises. The analysis involved the returns of 16 stock indices and Brent oil futures. Contagion was tested by constructing DCC GARCH models and calculating Student’s t‑test for potential crisis periods that were identified using a sliding window within periods of pandemic and new sanctions. The study found that oil market contagion to stock markets was on average higher during the 2020 pandemic shock, slightly lower during the 2021 energy crisis, and even lower during the period of new anti‑Russian sanctions. It revealed the greater sensitivity of the European and American stock markets to turmoil in the oil market, the synchronicity of contagion of both European and American indices, the short duration of shocks in Asian markets and their low propensity for contagion from the oil market. It revealed an atypically high dependence of the Russian RTS index on the state of the oil market during the pandemic, which significantly decreased during the period of new anti‑Russian sanctions. The results obtained can be used by institutional and individual investors when forming effective investment portfolios, and by regulatory authorities when managing financial stability during periods of external shocks in order to protect national interests

Pages
2284–2296
EDN
DBULXN
Paper at repository of SibFU
https://elib.sfu-kras.ru/handle/2311/154275

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