Финансовое заражение фондового рынка от рынка нефти: DCC GARCH‑анализ
Journal: SibFU Digital Repository (Siberian Federal University)
Year: 2024

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