A commentary on emerging markets banking sector spillovers: Covid-19 vs GFC pattern analysis

Mustafa Raza Rabbani · Umar Nawaz Kayani · Hana Saeed Bawazir · Iqbal Thonse Hawaldar

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency COVID-19 Pandemic Impacts

Abstract

The emerging-market banking sector plays a significant role in modern-day banking sector stability. In this study, we have used the dynamic conditional correlation (DCC) version of the Generalised autoregressive conditional heteroscedasticity (GARCH) model to estimate the correlation among Emerging Markets (BANKSEK), Latin America (BANKSLA), Brazil, Russia, India, and China (BRIC) (BANKSBC), Portugal, Ireland, Italy, Greece, and Spain (PIIGS) (BANKSPI) and Far East (BANKSFE). The study covers more than 100, 200 and 300 trading days of the GFC (starting July 8, 2008) and the COVID-19 pandemic (starting January 1, 2020). We have found that generally, in the short-term excluding PIIGS, all banks show similar pairwise correlation, and the pattern holds in the medium and long term. The far east banking sector displays a reduced correlation than their counterparts, even following the same pattern.

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References

2020Financial contagion during COVID–19 crisis 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques 2018Corporate governance and firm performance in emerging markets: Evidence from Turkey 2018Oil price elasticities and oil price fluctuations 2019Geopolitical risk and oil volatility: A new insight 2021Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

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