Financial contagion during COVID–19 crisis - Laboratoire Métis
Article Dans Une Revue Finance Research Letters Année : 2021

Financial contagion during COVID–19 crisis

Résumé

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.
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hal-04455600 , version 1 (22-07-2024)

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Md Akhtaruzzaman, Sabri Boubaker, Ahmet Sensoy. Financial contagion during COVID–19 crisis. Finance Research Letters, 2021, 38, pp.101604. ⟨10.1016/j.frl.2020.101604⟩. ⟨hal-04455600⟩
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