Financial contagion during COVID–19 crisis

Journal article

Akhtaruzzaman, Md, Boubaker, Sabri and Sensoy, Ahmet. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters. 38, p. Article 101604. https://doi.org/10.1016/j.frl.2020.101604
AuthorsAkhtaruzzaman, Md, Boubaker, Sabri and Sensoy, Ahmet
Abstract

This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, financial and non-financial firms alike, experience significant increase in conditional correlations between their stock returns. However, the magnitude of increase in these correlations is considerably higher for financial firms during the COVID-19 outbreak, indicating the importance of their role in financial contagion transmission. They also show that optimal hedge ratios increase significantly in most cases, implying higher hedging costs during the COVID-19 period.

Keywordsfinancial contagion; spillover index; financial firms; nonfinancial firms; hedge ratios
Year2021
JournalFinance Research Letters
Journal citation38, p. Article 101604
PublisherElsevier Ltd
ISSN1544-6123
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2020.101604
Scopus EID2-s2.0-85086155364
Research or scholarlyResearch
Page range1-20
Publisher's version
License
All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online23 May 2020
Publication process dates
Accepted19 May 2020
Deposited01 Sep 2021
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