การวิเคราะห์การไหลล้นความเสี่ยงระหว่างตลาดหุ้นสหรัฐอเมริกาและตลาดหุ้นกลุ่มประเทศเศรษฐกิจเกิดใหม่ในกลุ่มเอเชียในช่วงการระบาดของเชื้อไวรัสโคโรนา 2019

Abstract

The purpose of this study was to analyze the Value at Risk and Risk spillovers between the US stock exchange and the stock exchanges of emerging economies. The study used daily data from January 22, 2018 to May 28, 2021 total 845 days. The data range was divided into two sub-segments: the pre-COVID- 19 period. (22 January 2018 - 17 January 2020) and during the COVID-19 outbreak (21 January 2020 - 28 May 2021).We using Value at Risk. (VaR) to analyze the risk value of the stock market index and use the Vector Autoregressive Model. To analyze the resulting Risk spillover. Study reveals risk overrun intensifies as COVID-19 spreads around the world During the COVID-19 pandemic, emerging economies are higher risk than the United States. which further analyzes the risk overflow It illustrates the level of risk overflow between the US stock exchange and the stock exchanges of emerging economies before and during the COVID-19 pandemic. through the overflow of risks from the United States