Is China a source of financial contagion?

Journal article


Akhtaruzzaman, Md, Abdel-Qader, Waleed, Hammami, Helmi and Shams, Syed. (2021). Is China a source of financial contagion? Finance Research Letters. 38, p. Article 101393. https://doi.org/10.1016/j.frl.2019.101393
AuthorsAkhtaruzzaman, Md, Abdel-Qader, Waleed, Hammami, Helmi and Shams, Syed
Abstract

The study examines the role China plays compared with the US in transmitting contagion to South Asia. Trade intensity, economic downturns, and negative net equity capital outflows positively influence dynamic conditional correlations between South Asian and US/Chinese financial stock returns. Chinese and US financial firms transmitted more spillovers than they received during the global financial crisis. Results are robust to the use of USD or local currency returns, and the alternative specification of the Diebold–Yilmaz model. The role of Chinese financial firms in transmitting shocks to South Asia may be of interest to policymakers, regulators, and other market participants.

Keywordsfinancial contagion; spillover index; dynamic conditional correlation; business cycle; trade intensity
Year2021
JournalFinance Research Letters
Journal citation38, p. Article 101393
PublisherElsevier Inc.
ISSN1544-6131
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2019.101393
Scopus EID2-s2.0-85076576191
Research or scholarlyResearch
Page range1-13
Publisher's version
License
All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online05 Dec 2019
Publication process dates
Accepted03 Dec 2019
Deposited02 Sep 2021
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https://acuresearchbank.acu.edu.au/item/8wv12/is-china-a-source-of-financial-contagion

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