1 |
Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, 39, 311-325. https://doi.org/10.1016/j.iref.2015.04.013
DOI
|
2 |
Becketti, S., & Sellon, G. H. (1989). Has financial market volatility increased? Economic Review from Federal Reserve Bank of Kansas City, 74(June), 17-30. https://www.kansascityfed.org/PUBLICAT/ECONREV/EconRevArchive/1989/2q89beck.pdf
|
3 |
Bekaert, G., Harvey, C. R., & Ng, A. (2005). Market integration and contagion. Journal of Business, 78(1), 39-69. http://dx.doi.org/10.1086/426519
DOI
|
4 |
Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. Journal of Asian Finance, Economics, and Business, 7(7), 131-137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131
DOI
|
5 |
Alshammari, T. S., Ismail, M. T., Al-wadi, S., Saleh, M. H., & Jaber, J. J. (2020). Modeling and Forecasting Saudi Stock Market Volatility Using Wavelet Methods. Journal of Asian Finance, Economics, and Business, 7(11), 83-93. https://doi.org/10.13106/jafeb.2020.vol7.no11.083
DOI
|
6 |
Bollerslev, T., Engle, R. F., & Wooldridge, M. (1988). A capital asset pricing model with time-varying covariance. Journal of Political Economy, 96(1), 116-131. http://dx.doi.org/10.1086/261527
DOI
|
7 |
Bouaziz, M. C., Selmi, N., & Boujelbene, Y. (2012). Contagion effect of the subprime financial crisis: evidence of DCC multivariate GARCH models. European Journal of Economics, Finance and Administrative Sciences, 44, 66-76. https://www.europeanjournalofeconomicsfinanceandadministrativesciences.com/
|
8 |
Breitung, J., & Candelon, B. (2006). Testing for short- and longrun causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378. https://doi.org/10.1016/j.jeconom.2005.02.004
DOI
|
9 |
Calvo, S., & Mendoza, E. (2000). Rational contagion and the globalization of securities markets. Journal of International Economics, 51, 79-113. https://doi.org/10.1016/S0022-1996(99)00038-0
DOI
|
10 |
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets. Princeton, NJ: Princeton University Press.
|
11 |
Carrick, A. (2020, February 24). FTSE 100 plunges 3.4 per cent as Italy confirms seventh coronavirus death. CITYA.M. Retrieved July 10, 2020 (actual access date), from https://www.cityam.com/ftse-100-plunges-2-per-cent-as-coronavirus-takes-holdin-italy/
|
12 |
Celik, S. (2012). The more contagion effect on emerging markets: The evidence of DCC-GARCH model. Economic Modelling, 29(5), 1946-1959. https://doi.org/10.1016/j.econmod.2012.06.011
DOI
|
13 |
Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: evidence from Asian markets. Journal of International Money and Finance, 1026-1228. https://doi.org/10.1016/j.jimonfin.2007.06.005
DOI
|
14 |
Williams, M. (2010). Uncontrolled Risk: The Lessons of Lehman Brothers and how systemic risk can still bring down the world financial system (1st ed.). New York, NY: McGraw-Hill.
|
15 |
Worthington, A. & Higgs, H. (2004). Transmission of Equity Returns and Volatility in Asian Developed and Emerging Markets: A Multivariate GARCH Analysis. International Journal of Finance & Economics, 9(1), 71-80. https://doi.org/10.1002/ijfe.222
DOI
|
16 |
Winn, P. (2020, May 07). Is Vietnam the coronavirus-fighting champ of the world? The World. Retrieved July 7, 2020 from https://www.pri.org/stories/2020-05-07/vietnam-coronavirusfighting-champ-world
|
17 |
World Health Organization. (2020). Coronavirus disease (COVID-19): situation report, 162. World Health Organization. https://apps.who.int/iris/handle/10665/332970
|
18 |
World Intellectual Property Organization. (2019). The Global Innovation Index 2019: Creating healthy lives - The future of medical innovation. World Intellectual Property Organization (WIPO). https://www.wipo.int/global_innovation_index/en/2019/
|
19 |
Zoleta, A. (2018). The great financial crisis and how the Philippines got away from it. Unpublished internal document, Chartered Institute for Securities & Investment.
|
20 |
Mighri, Z., & Mansouri, F. (2013). Dynamic conditional correlation analysis of stock market contagion: evidence from the 2007-2010 financial crises. The International Journal of Economics and Financial issues, 3(3), 237-661. https://www.econjournals.com/index.php/ijefi/article/view/390
|
21 |
Mulyadi, M. (2009). Volatility spillover in Indonesia, USA, and Japan capital market. MPRA Paper 16914. Munich, Germany: University of Munich
|
22 |
Naoui, K., Liouane, N., & Brahim, S. (2010). A dynamic conditional correlation analysis of financial contagion: the case of the subprime credit crisis. International Journal of Economics and Finance, 2(3), 85-96. https://doi.org/10.5539/ijef.v2n3p85
DOI
|
23 |
Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487
DOI
|
24 |
Nguyen, M. K., & Le, D. N. (2018). Return Spillover from the US and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency-Domain Approach. Emerging Markets Finance & Trade, 1-12. https://doi.org/10.1080/1540496X.2018.1525357
DOI
|
25 |
Syllignakis, M. N., & Kouretas, G. P. (2011). Dynamic correlation analysis of financial contagion: evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732. https://doi.org/10.1016/j.iref.2011.01.006
DOI
|
26 |
Walden, M. (2020, May 13). How has Vietnam, a developing nation in South-East Asia, done so well to combat coronavirus?. ABC News. Retrieved July 7, 2020 (actual access date), from https://www.abc.net.au/news/2020-05-13/coronavirus-vietnam-nodeaths-success-in-south-east-asia/12237314
|
27 |
Ezzati, P. (2013). Analysis of Financial Markets Integration of Iran within the Middle East and with the Rest of the World. American Journal of Applied Sciences, 10(12), 1492-1508. https://doi.org/10.3844/ajassp.2013.1492.1508
DOI
|
28 |
Fonbuena, C. (2020, August 1). Global report: Philippines 'losing battle' as WHO records biggest jump in Covid-19 cases. The Guardian. Retrieved July 7, 2020 from https://www.theguardian.com/world/2020/aug/01/global-reportphilippines-losing-battle-as-who-records-biggest-jump-incovid-19-cases
|
29 |
Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market co-movements. Journal of Finance, 57(5), 2223-2261. https://doi.org/10.2307/3094510
DOI
|
30 |
Horta, P., Mendes, C., & Vieira, I. (2008). Contagion effects of the US subprime crisis on developed countries. CEFAGE-UE Working Paper. Evora, Portugal: CEFAGE-UE.
|
31 |
Hwang, I., Haeuck, I. F., & Kim, T. S. (2010). Contagion effects of the U.S. subprime crisis on international stock markets. Finance and Corporate Governance Conference 2010 Paper. Melbourne, Australia, April 2010. Victoria, Australia: La Trobe University. https://dx.doi.org10.2139/ssrn.1536349
DOI
|
32 |
Jones, P. M., & Olson, E. (2013). The time-varying correlation between uncertainty output and inflation: Evidence from a DCC-GARCH model. Economics Letters, 118(1), 33-37. https://doi.org/10.1016/j.econlet.2012.09.012
DOI
|
33 |
Kaminsky, G. L., & Schmukler, S.L. (1999). What triggers market jitters? A chronicle of the Asian crisis. Journal of International Money and Finance, 18, 537-560. https://doi.org/10.1016/S0261-5606(99)00015-7
DOI
|
34 |
Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, Economics, and Business, 7(7), 463-474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463
DOI
|
35 |
McLean, R., He, L. & Tappe, A. (2020, February 24). Dow plunges 1,000 points, posting its worst day in two years as coronavirus fears spike. CNN Business. Retrieved July 7, 2020 from https://edition.cnn.com/2020/02/23/business/stock-futurescoronavirus/index.html
|
36 |
Cho, J. H., & Parhizgari, A. M. (2008). East Asian financial contagion under DCC-GARCH. International Journal of Banking and Finance, 6(1). https://doi.org/10.32890/ijbf2009.6.1.8380
DOI
|
37 |
Sok-Gee, C., Karim, M. A., & Karim, M. A. (2010). Volatility spillovers of the major stock markets in ASEAN-5 with the US and Japanese stock markets. International Research Journal of Finance and Economics, 44, 156-168. http://www.internationalresearchjournaloffinanceandeconomics.com/ISSUES/IRJFE%20issue%2044.htm
|
38 |
Dominguez, K. M. E., Hashimoto, Y., & Ito, T. (2012). International reserves and the global financial crisis. Journal of International Economics, 88(2), 388-406. https://doi.org/10.1016/j.jinteco.2012.03.003
DOI
|