Risk spillover effect of global financial markets in the context of novel coronavirus epidemic

Liqin Hu, Qiuyan Zheng and Tsangyao Chang

Applied Economics, 2024, vol. 56, issue 22, 2654-2670

Abstract: Since the outbreak of COVID-19 pandemic, the financial markets of many countries have been impacted severely. In this context, based on the event study method and orthogonal decomposition method, this paper studies the impact of the novel coronavirus epidemic on the spillover effect of global financial risk, and further analyses the financial risk transmission channels of various countries. The results suggest that the novel coronavirus significantly increases the overall risk level of global financial markets, and exacerbates the contagion effects of financial risk through the global risk spillover network. In addition, the analysis of transmission channels reveals the source and direction of the financial risks in each country, manifesting as the unidirectional risk transmissions from developed countries to developing countries and the bidirectional risk contagion paths of countries with similar level of development. Therefore, facing the challenges of public health emergencies such as novel coronavirus epidemic, the major economies should strengthen multilateral cooperation and promote the coordination of macroeconomic policies to jointly defuse global systemic financial risk.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2023.2198193 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:56:y:2024:i:22:p:2654-2670

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2023.2198193

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().