FINANCIAL CONTAGION DURING GLOBAL FINANCIAL CRISIS AND COVID–19 PANDEMIC: THE EVIDENCE FROM DCC–GARCH MODEL

Figures & data

Figure 1. The daily returns of stock indices.

Table 1. Descriptive statistics of returns in the full period (from 1 January 2005 through 6 July 2021)

Country	USA	Japan	China	India	Indonesia	Korea	Malaysia	Pakistan	Philippines	Taiwan	Thailand	Vietnam
No of Observations	2754	2754	2754	2754	2754	2754	2754	2754	2754	2754	2754	2754
Mean	0.0006	0.0003	0.0002	0.0005	0.0003	0.0002	0.0001	0.0005	0.0003	0.0002	0.0001	0.0003
Median	0.001	0.000	0.001	0.001	0.001	0.001	0.000	0.001	0.001	0.001	0.000	0.001
Maximum	0.110	0.132	0.089	0.160	0.097	0.083	0.034	0.083	0.094	0.057	0.106	0.047
Minimum	−0.128	−0.121	−0.097	−0.116	−0.110	−0.112	−0.100	−0.071	−0.143	−0.067	−0.161	−0.065
Std.Dev.	0.013	0.015	0.017	0.014	0.013	0.012	0.007	0.013	0.013	0.011	0.012	0.014
Skewness	−0.522	−0.544	−0.519	0.115	−0.762	−1.008	−1.523	−0.407	−0.815	−0.721	−1.407	−0.326
Kurtosis	15.837	8.739	4.309	11.787	8.787	9.242	16.075	3.601	10.361	4.476	19.527	1.876
Jarque Bera Test	28,955 (0.00)	8916.5 (0.00)	2259.7 (0.00)	15,978 (0.00)	9143 (0.00)	10,286 (0.00)	30,769 (0.00)	1567.6 (0.00)	12,647 (0.00)	2543.9 (0.00)	44,735 (0.00)	454.29 (0.00)
LB Q-statistics	86.73 (0.00)	47.526 (0.00)	26.526 (0.00)	49.537 (0.00)	43.603 (0.00)	23.915 (0.01)	21.866 (0.01)	66.873 (0.00)	25.673 (0.00)	15.816 (0.09)	18.956 (0.04)	85.493 (0.00)
ArchTest (p.value)	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Table 2. Descriptive statistics of returns before and during the GFC (from 01/01/2005 to 31/12/2009)

Panel A- Countries: U.S, Japan, China, India,Indonesia and Korea
Country		U.S.			Japan		China			India			Indonesia			Korea
										Pre	In		Pre	In		Pre	In
No of Obs		461	391		461	391	461	391		461	391		461	391		461	391
Mean		0.0003	0.0002		0.0006	−0.0005	0.002	−0.0008		0.0015	0.0001		0.0013	−0.0007		0.0008	−0.0012
Median		0.001	0.001		0	0	0.003	0.001		0.002	0.001		0.002	0		0.002	0.001
Maximum		0.024	0.11		0.033	0.132	0.079	0.089		0.067	0.16		0.053	0.073		0.034	0.06
Minimum		−0.03	−0.095		−0.039	−0.121	−0.097	−0.085		−0.07	−0.116		−0.065	−0.11		−0.072	−0.112
Std.Dev.		0.007	0.021		0.011	0.024	0.018	0.026		0.014	0.024		0.013	0.02		0.012	0.02
Skewness		−0.339	0.06		−0.188	−0.338	−0.778	−0.067		−0.453	0.484		−0.782	−0.813		−0.97	−0.979
Kurtosis		1.884	4.918		0.789	5.293	4.265	1.109		3.179	5.733		4.009	4.854		4.01	4.44
Panel B- Countries: Malaysia, Pakistan, Philippines, Taiwan, Thailand and Vietnam
Country	Malaysia			Pakistan			Philippines		Taiwan			Thailand			Vietnam
									Pre		In	Pre		In	Pre		In
No of Obs	461		391	461		391	461	391	461		391	461		391	461		391
Mean	0.0003		−0.0005	0.0006		−0.0002	0.0008	−0.0003	0.0004		−0.001	−0.0001		−0.0004	0.002		−0.0016
Median	0.001		0	0.002		0	0.001	0	0.001		0.001	0		0	0.001		−0.001
Maximum	0.026		0.034	0.058		0.083	0.094	0.071	0.029		0.057	0.106		0.062	0.047		0.046
Minimum	−0.036		−0.1	−0.06		−0.051	−0.062	−0.057	−0.047		−0.067	−0.161		−0.072	−0.05		−0.048
Std.Dev.	0.007		0.011	0.017		0.017	0.013	0.017	0.01		0.018	0.014		0.017	0.017		0.021
Skewness	−0.801		−1.888	−0.344		−0.093	0.367	−0.023	−0.902		−0.436	−2.61		−0.461	−0.09		−0.01
Kurtosis	4.608		15.114	0.864		2.087	5.795	1.714	3.337		1.013	46.081		1.964	0.95		−0.49

Note: Pre: Pre-period of Global financial crisis (from 1 January 2005 to 31 August 2007). In: Period during Global financial crisis (from 1 September 2007 to 31 December 2009)

Table 3. Descriptive statistics of returns before and during Covid-19 pandemic (from 01/01/2013 to 06/07/2020)

Panel A- Countries: U.S, Japan, China, India, Indonesia and Korea
Country	U.S.		Japan		China		India		Indonesia		Korea
	Pre	In	Pre	In	Pre	In	Pre	In	Pre	In	Pre	In
No of obs	1132	243	1132	243	1132	243	1132	243	1132	243	1132	243
Mean	0	0	0	0	1E-04	0	0	0	0	−0	0	0
Median	0	0	0	0	0	0	0	0	0	0	0	0
Maximum	0.05	0.1	0.07	0.07	0.065	0.03	0.05	0.09	0.05	0.097	0.03	0.08
Minimum	−0	−0.1	−0.1	−0.06	−0.09	−0.08	−0.06	−0.09	−0.04	−0.07	−0.05	−0.09
Std.Dev.	0.01	0	0.01	0.02	0.015	0.01	0.01	0.02	0.01	0.016	0.01	0.02
Skewness	−0.5	−1.5	−0.4	−0.25	−0.91	−1.13	−0.34	−0.83	−0.39	0.211	−0.4	−0.53
Kurtosis	4.28	15	5.02	3.82	6.391	5.23	3.77	7.85	2.76	8.064	2.28	8.72
Panel B- Countries: Malaysia, Pakistan, Philippines, Taiwan, Thailand and Vietnam
Country	Malaysia		Pakistan		Philippines		Taiwan		Thailand		Vietnam
	Pre	In	Pre	In	Pre	In	Pre	In	Pre	In	Pre	In
No of obs	1132	243	1132	243	1132	243	1132	243	1132	243	1132	243
Mean	0	−0	0	0	4E-04	−0	0	0	0	−0	0	0
Median	0	0	0	0	0.001	0	0	0	0	0	0	0
Maximum	0.02	0	0.04	0.05	0.055	0.07	0.04	0.05	0.05	0.065	0.04	0.04
Minimum	−0	−0.1	−0	−0.07	−0.07	−0.14	−0.07	−0.06	−0.05	−0.11	−0.06	−0.07
Std.Dev.	0.01	0	0.01	0.01	0.011	0.02	0.01	0.01	0.01	0.016	0.01	0.01
Skewness	−0.5	−1	−0.2	−1.31	−0.61	−2.02	−0.91	−0.73	−0.1	−2.2	−0.82	−1.54
Kurtosis	2.81	4.6	2.2	7.12	4.705	12.9	6.81	4.97	3.64	14.69	4.02	4.78

Note: Pre:Pre-period of Covid-19 pandemic (from 1 January 2013 to 31 December 2019). In: Period during Covid-19 pandemic (from 1 January 2020 to 6 July 2021)

Figure 2. Conditional Correlation among U.S, Japan, China and Asian Countries .

Table 4. Conditional correlation coefficients (from 1 January 2005 to 6 July 2021)

	Full period (Global Financial Crisis)			Full period (Covid-19 Crisis)
	U.S.	Japan	China	U.S.	Japan	China
U.S.
Japan	0.4649			0.4379
China	0.1363	0.2240		0.1881	0.3029
India	0.2764	0.3797	0.1946	0.2667	0.3410	0.2339
Indonesia	0.3762	0.4663	0.2021	0.2792	0.2923	0.2221
Korea	0.3722	0.6828	0.2506	0.3511	0.5332	0.3417
Malaysia	0.4072	0.4419	0.2679	0.3253	0.3700	0.1906
Pakistan	0.1179	0.0740	0.0368	0.1481	0.1510	0.1241
Philippines	0.5299	0.3858	0.1379	0.3303	0.3056	0.1839
Taiwan	0.4011	0.5562	0.2245	0.4104	0.5232	0.3774
Thailand	0.2695	0.3670	0.1680	0.2421	0.2940	0.2340
Vietnam	0.2350	0.2012	0.0533	0.2623	0.2467	0.2284

Table 5. The GFC period: conditional correlation coefficients

Country	The U.S.				Japan				China
	Stable ${\hat{\rho }}^S$	Turmoil ${\hat{\rho }}^T$	Test Statistic	Contagion	Stable ${\hat{\rho }}^S$	Turmoil ${\hat{\rho }}^T$	Test Statistic	Contagion	Stable ${\hat{\rho }}^S$	Turmoil ${\hat{\rho }}^T$	Test Statistic	Contagion
Japan	0.3685	0.5857	−182.28	C
China	0.0537	0.1992	−81.15	C	0.1331	0.2850	−134.35	C
India	0.2961	0.2631		N	0.3832	0.3710		N	0.1188	0.3028	−104.19	C
Indonesia	0.3789	0.3451		N	0.4157	0.4880	−62.89	C	0.1008	0.3055	−155.82	C
Korea	0.3214	0.4374	−73.10	C	0.6146	0.7395	−121.81	C	0.1532	0.3658	−136.64	C
Malaysia	0.3627	0.4189	−37.29	C	0.3900	0.4956	−54.87	C	0.1975	0.3424	−75.88	C
Pakistan	0.1256	0.0016		N	0.0652	−0.0401		N	−0.0057	−0.0030	−3.63	C
Philippines	0.4425	0.5883	−78.56	C	0.3015	0.4917	−86.17	C	0.0216	0.2918	−106.56	C
Taiwan	0.3647	0.3974	−25.53	C	0.5449	0.5906	−36.47	C	0.1576	0.3237	−122.90	C
Thailand	0.2532	0.3111	−53.42	C	0.2680	0.4807	−192.61	C	0.0707	0.2922	−173.20	C
Vietnam	0.1514	0.3067	−72.19	C	0.1365	0.2616	−58.45	C	−0.0159	0.0892	−46.71	C

Table 6. The Covid-19 pandemic period: conditional correlation coefficients

Country	The U.S.				Japan					China
	Stable${\hat{\rho }}^S$	Turmoil${\hat{\rho }}^T$	Test Statistic	Contagion	Stable${\hat{\rho }}^S$	Turmoil${\hat{\rho }}^T$		Test Statistic	Contagion	Stable${\hat{\rho }}^S$		Turmoil${\hat{\rho }}^T$	Test Statistic	Contagion
Japan	0.4532	0.4690	−15.21	C
China	0.1742	0.1780	−3.17	C	0.3086	0.3233		−12.85	C
India	0.2689	0.2281		N	0.3312	0.3635		−50.79	C	0.2406		0.2176		N
Indonesia	0.2928	0.2417		N	0.2769	0.3303		−80.92	C	0.1994		0.2804	−119.42	C
Korea	0.3700	0.2840		N	0.5116	0.6045		−144.88	C	0.3390		0.3807	−61.11	C
Malaysia	0.3668	0.2209		N	0.3785	0.3743			N	0.1765		0.2377	−91.59	C
Pakistan	0.1371	0.1783	−63.64	C	0.1369	0.2026		−104.29	C	0.0683		0.3281	−403.29	C
Philippines	0.3521	0.2486		N	0.3107	0.2807			N	0.1708		0.2339	−95.67	C
Taiwan	0.4352	0.3347		N	0.5140	0.5448	−48.46		C	0.3796	0.3792			N
Thailand	0.2208	0.3097	−142.74	C	0.2902	0.2953	−7.90		C	0.2187	0.3037		−145.56	C
Vietnam	0.2646	0.2621		N	0.2413	0.2636	−30.05		C	0.2082	0.3077		−144.01	C

Notes: This table reports conditional cross-market correlation coefficients for the United State, Japan, China and each country in the sample. The stable period includes 1132 observations, is defined as January 2013, through 31 December 2019. The turmoil period includes 243 observations, is defined as 1 January 2020, through 7 July 2021. The test statistics are for one-sided t-tests examining if the cross-market correlation coefficient during the turmoil period is significantly greater than during the stable period. contagion existed as the test statistic exceeds the critical value. “N” indicates no contagion existed as the test statistic was smaller than the critical value.

Table

No.	Author’s full name	Author’s signature
1	THI NGAN NGUYEN
2	THI KIEU HOA PHAN

Table

	Intercept (t value)	US	Japan	Chow test- F (p-value)
GFC
Pre-GFC	0.000398 (1.248)	0.418383*** (9.451)	0.539732*** (18.469)	19.187 (0.0125)
In-GFC	0.0004984 (0.928)	0.404064*** (15.297)	0.563579**** (24.146)
Covid-19
Pre-Covid-19	-0.000234 (-1.35)	0.390637*** (18.10)	0.260534*** (19.37)	37.993 (0.000)
In-Covid-19	0.000019 (0.029)	0.3484*** (11.294)	0.3671*** (8.803)
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1