Is China a source of financial contagion?

Md Akhtaruzzaman, Waleed Abdel-Qader, Helmi Hammami and Syed Shams

Finance Research Letters, 2021, vol. 38, issue C

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.

Keywords: Financial contagion; Spillover index; Dynamic conditional correlation; Business cycle; Trade intensity (search for similar items in EconPapers)
JEL-codes: G15 G20 G21 G22 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310402

DOI: 10.1016/j.frl.2019.101393

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