Stock market, financial contagion and Covid-19 effect in Peru

Chambi Condori P.P.; Saravia Ticona T.R. · Revista Venezolana de Gerencia (2023) · DOI: 10.52080/rvgluz.28.103.4

Resumen

The COVID-19 health crisis has provoked a different and more severe version of the phenomenon of financial contagion. The study aims to examine the incidence of the COVID-19 pandemic in the presence of financial contagion between the Peruvian stock market and stock markets of various emerging and developed countries during the Covid-19 health crisis. The study methodology was based on the application of the conditional dynamic correlation model for multivariate conditional heteroskedastic generalized autoregressive models and the estimation of conditional dynamic correlations. The results show significant increases in the Covid-19 crisis period compared to pre-pandemic periods, as empirical evidence of financial contagion. The significant conditional dynamic correlation findings that draw attention are the indices of financial contagion between the Peruvian stock market and the stock markets of the United States, Germany, Mexico, and Brazil. The main conclusion is that the financial contagion findings in this paper have implications for policymakers, investors, and investment portfolio managers in Peru.

Instituciones: Universidad Nacional Jorge Basadre Grohmann