Financial contagion during COVID–19 crisis

Md Akhtaruzzaman, Sabri Boubaker and Ahmet Sensoy

Post-Print from HAL

Abstract: This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, financial and non-financial firms alike, experience significant increase in conditional correlations between their stock returns. However, the magnitude of increase in these correlations is considerably higher for financial firms during the COVID-19 outbreak, indicating the importance of their role in financial contagion transmission. They also show that optimal hedge ratios increase significantly in most cases, implying higher hedging costs during the COVID-19 period.

Keywords: COVID–19; financial contagion; spillover index; financial firms; nonfinancial firms; hedge ratios (search for similar items in EconPapers)
Date: 2021
Note: View the original document on HAL open archive server: https://normandie-univ.hal.science/hal-04455600v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Published in Finance Research Letters, 2021, 38, pp.101604. ⟨10.1016/j.frl.2020.101604⟩

Downloads: (external link)
https://normandie-univ.hal.science/hal-04455600v1/document (application/pdf)

Related works:
Journal Article: Financial contagion during COVID–19 crisis (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-04455600

DOI: 10.1016/j.frl.2020.101604

Access Statistics for this paper

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