 Risk contagion of COVID-19 in Japanese firms: A network approachMasayasu Kanno Research in International Business and Finance, 2021, vol. 58, issue C Abstract: The novel coronavirus disease (COVID-19) is one of the worst pandemics in human history. Our research objective is to assess the contagion effect on Japanese firms and to evaluate the Japanese government's COVID-19 measures during the period from April 7, 2020, to May 25, 2020. We propose a susceptible-infected-recovered-dead model for COVID-19 and derive COVID-19 parameters for Japan. Subsequently, we analyze the effect of COVID-19 on Japanese firms through correlation-based network and credit risk analyses. The main findings are that the Tokyo Stock Price Index moved in the opposite direction of COVID-19 parameters and COVID-19 parameters are almost the only risk factors that impact a firm's credit risk during the period. Finally, we find that the interconnection analysis between the COVID-19 infection network and the financial networks contribute to the existing pandemic risk management knowledge. Keywords: COVID-19; Risk contagion; Susceptible-infected-recovered-dead (SIRD) model; Correlation-based network; Stock market; Net cash (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:riibaf:v:58:y:2021:i:c:s0275531921001124 DOI: 10.1016/j.ribaf.2021.101491 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.