Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
By L. Yarovaya, Janusz Brzeszczyński, John W. Goodell, Brian M. Lucey, Chi Keung Marco Lau. Journal of international financial markets, institutions, and money, 2020
239 citations recorded by the source corpus.
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9cd4b3395d359090c8d112ae916273555d82a421
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Citations in the corpus
- The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “…to suggest financial contagion and spillover effect between various financial assets (e.g., Akhtaruzzaman et al., 2020; Okorie and Lin, 2020; Yarovaya et al., 2020a, 2020b), reaction and recovery of financial markets from the COVID-19 shock (e.g., Ashraf, 2020; Seven and Yilmaz, 2020;…”
- Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020, background): “In this regard, recent literature surveys by Goodell (2020) and Yarovaya et al. (2020) suggest that COVID-19 pandemic might have important impact on the functioning of financial sector and is a promising research domain.”
- Human Capital efficiency and equity funds’ performance during the COVID-19 pandemic (2020, unknown): “(Yarovaya et al., 2020) analyze the response of equity, bond, precious metals, and cryptocurrency markets to the COVID-19 shock, and results demonstrate heterogeneous patterns of reaction and recovery across different asset classes and within each class of assets.”