Is China a source of financial contagion?

Md Akhtaruzzaman, Waleed Abdel-Qader, Helmi Hammami and Syed Shams
Additional contact information
Waleed Abdel-Qader: ACU - Australian Catholic University
Helmi Hammami: ESC [Rennes] - ESC Rennes School of Business
Syed Shams: USQ - University of Southern Queensland

Post-Print from HAL

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)
Date: 2021-01
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Published in Finance Research Letters, 2021, 38, pp.101393. ⟨10.1016/j.frl.2019.101393⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Is China a source of financial contagion? (2021)
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:hal:journl:hal-03329091

DOI: 10.1016/j.frl.2019.101393

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().