Financial contagion during COVID–19 crisis
By Md. Akhtaruzzaman, Sabri Boubaker, Ahmet Sensoy. Finance Research Letters, 2020
853 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/986ae644a987153c079ca453ced43e2b05db670c
Citations in the corpus
- Human Capital efficiency and equity funds’ performance during the COVID-19 pandemic (2020, neutral): “The economic effects originated by the COVID-19 pandemic has been explored across stock markets, commodities, and cryptocurrencies (Akhtaruzzaman et al., 2020; Corbet et al., 2020).”
- Impacts of the COVID-19 pandemic on financial market connectedness (2020, neutral): “Akhtaruzzaman et al. (2020) analyzed the occurrence of financial contagion through both financial and non-financial firms between China and G7 countries.”
- The nexus between COVID-19 fear and stock market volatility (2021, neutral): “For example, during the pandemic, Akhtaruzzaman et al. (2021) used the DCC method to investigate contagion dissemination for both financial and nonfinancial companies between China and the G7 economies.”
- Market reactions to the arrival and containment of COVID-19: An event study (2020, neutral): “(2020) and Akhtaruzzaman et al. (2020) show that, in response to the pandemic, global stock market risks respectively conditional correlations between countries’ stock returns have increased substantially. Furthermore, Goodell and Huynh (2020) employ an event study examining market reactions of US i”
- The COVID-19 outbreak and stock market reactions: Evidence from Australia (2020, neutral): “Akhtaruzzaman et al. (2020) and Corbet et al. (2020), in general, indicate a significant increase in correlation between Table 4.”