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Financial contagion during COVID-19 crisis.


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.

SUBMITTER: Akhtaruzzaman M 

PROVIDER: S-EPMC7245292 | biostudies-literature | 2021 Jan

REPOSITORIES: biostudies-literature

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Financial contagion during COVID-19 crisis.

Akhtaruzzaman Md M   Boubaker Sabri S   Sensoy Ahmet A  

Finance research letters 20200523


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 impor  ...[more]

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