تقدير درجة عدوى المخاطر النظامية بين أهم الساحات المالية خلال جائحة كورونا باستعمال نموذج Bekk-Garch

Abstract EN

This study examines how systemic risk contagion financial markets of China, USA, Britain, Euro zone and Japan, During the Corona pandemic period, As it turns out that there is a positive relationship between the returns and volatility of stock market indices, and the volatility that occur in one stock market indices effect the variance of all stock market indices, And by using model BEKK-GARCH, we discern their is significant increase in conditional covariance between their stock returns, and this correlations increase During the Corona pandemic period, finally there is difference volatility effect between stock market indices , and this effect has relationship about Its economic strength.