 Spatial financial contagion during the COVID-19 outbreak: Local correlation approachImen Zorgati and Riadh Garfatta The Journal of Economic Asymmetries, 2021, vol. 24, issue C Abstract: The purpose of this paper is to examine the effect of spatial proximity on financial contagion during the COVID-19 outbreak. We use the daily stock index series of Asian, American, and European countries from January 1, 2014 to January 30, 2021. Two groups of countries are considered: the first includes China and geographically close countries, namely Taiwan, Hong Kong, Singapore, India, Australia, Indonesia, Malaysia, South Korea, Singapore, Vietnam and Russia. The second group includes countries that are geographically distant from China: the United States, Brazil, Mexico, Argentina, Italy, France and Germany. Using local correlation measurement and polynomial regressions, we show that the spatial contagion effect exists between China and geographically distant countries. However, this effect is absent for geographically close countries (Taiwan, Vietnam and Hong Kong). Keywords: COVID-19 outbreak; Spatial proximity; Contagion; Local correlation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000281 DOI: 10.1016/j.jeca.2021.e00223 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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