Financial risk contagion across markets in China under the impact of the COVID-19 pandemic

Sunan Ji, Dazhi Zheng and Kaiguo Zhou

Finance Research Letters, 2025, vol. 71, issue C

Abstract: Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO2 emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.

Keywords: Financial markets; Financial risk; Cross-market contagion; COVID-19 (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324014028
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014028

DOI: 10.1016/j.frl.2024.106373

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().