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Financial contagion during COVID–19 crisis
Akhtaruzzaman, Md Boubaker, Sabri Sensoy, Ahmet
Akhtaruzzaman, Md
Boubaker, Sabri
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.
Keywords
financial contagion, spillover index, financial firms, nonfinancial firms, hedge ratios
Date
2021
Type
Journal article
Journal
Finance Research Letters
Book
Volume
38
Issue
Page Range
1-20
Article Number
Article 101604
ACU Department
Peter Faber Business School
Faculty of Law and Business
Faculty of Law and Business
Collections
Relation URI
Source URL
Event URL
Open Access Status
License
All rights reserved
File Access
Controlled