242
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Risk spillover effect of global financial markets in the context of novel coronavirus epidemic

, &

References

  • Abuzayed, B., E. Bouri, N. Al-Fayoumi, and N. Jalkh. 2021. “Systemic Risk Spillover Across Global and Country Stock Markets During the COVID-19 Pandemic.” Economic Analysis and Policy 71: 180–197. doi:10.1016/j.eap.2021.04.010.
  • Adekoya, O. B., and J. A. Oliyide. 2021. “How COVID-19 Drives Connectedness Among Commodity and Financial Markets: Evidence from TVP-VAR and Causality-In-Quantiles Techniques.” Resources Policy 70: 101898. doi:10.1016/j.resourpol.2020.101898.
  • Adrian, T., A. Estrella, & H. S. Shin 2010. Monetary Cycles, Financial Cycles, and the Business Cycle. Federal Reserve Bank of New York Staff Reports, Staff Report no.421
  • Alqahtani, A., R. Selmi, and O. Hongbing. 2021. “The Financial Impacts of Jump Processes in the Crude Oil Price: Evidence from G20 Countries in the Pre- and Post-COVID-19.” Resources Policy 72: 102075. doi:10.1016/j.resourpol.2021.102075.
  • Apostolakis, G., and A. P. Papadopoulos. 2014. “Financial Stress Spillovers in Advanced Economies.” Journal of International Financial Markets, Institutions and Money 32: 128–149. doi:10.1016/j.intfin.2014.06.001.
  • Ashraf, B. N. 2020. “Stock markets’ Reaction to COVID-19: Cases or Fatalities?” Research in International Business and Finance 54: 101249. doi:10.1016/j.ribaf.2020.101249.
  • Baruník, J., and T. Křehlík. 2018. “Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.” Journal of Financial Econometrics 16: 271–296. doi:10.1093/jjfinec/nby001.
  • Beirne, J., N. Renzhi, E. Sugandi, and U. Volz. 2021. “COVID‐19, Asset Markets and Capital Flows.” Pacific Economic Review (Oxford, England) 26 (4): 498–538. doi:10.1111/1468-0106.12368.
  • Benkraiem, R., R. Garfatta, F. Lakhal, and I. Zorgati. 2022. “Financial Contagion Intensity During the COVID-19 Outbreak: A Copula Approach.” International Review of Financial Analysis 81: 102136. doi:10.1016/j.irfa.2022.102136.
  • Bouri, E., O. Cepni, D. Gabauer, and R. Gupta. 2021. “Return Connectedness Across Asset Classes Around the COVID-19 Outbreak.” International Review of Financial Analysis 73: 101646. doi:10.1016/j.irfa.2020.101646.
  • Cardarelli, R., S. Elekdag, and S. Lall. 2011. “Financial Stress and Economic Contractions.” Journal of Financial Stability 7 (2): 78–97. doi:10.1016/j.jfs.2010.01.005.
  • Cheng, T., J. Liu, W. Yao, and A. B. Zhao. 2022. “The Impact of COVID-19 Pandemic on the Volatility Connectedness Network of Global Stock Market.” Pacific-Basin Finance Journal 71: 101678. doi:10.1016/j.pacfin.2021.101678.
  • Chen, R., N. Iqbal, M. Irfan, F. Shahzad, and Z. Fareed. 2022. “Does Financial Stress Wreak Havoc on Banking, Insurance, Oil, and Gold Markets? New Empirics from the Extended Joint Connectedness of TVP-VAR Model.” Resources Policy 77: 102718. doi:10.1016/j.resourpol.2022.102718.
  • Chowdhury, B., M. Dungey, M. Kangogo, M. A. Sayeed, and V. Volkov. 2019. “The Changing Network of Financial Market Linkages: The Asian Experience.” International Review of Financial Analysis 64: 71–92. doi:10.1016/j.irfa.2019.05.003.
  • Ҫolak, G., and Ö. Öztekin. 2021. “The Impact of COVID-19 Pandemic on Bank Lending Around the World.” Journal of Banking & Finance 133: 106207. doi:10.1016/j.jbankfin.2021.106207.
  • Contessi, S., and P. De Pace. 2021. “The International Spread of COVID-19 Stock Market Collapses.” Finance Research Letters 42: 101894. doi:10.1016/j.frl.2020.101894.
  • Diebold, F. X., and K. Yilmaz. 2009. “Measuring Financial Asset Return and Volatility Spillovers with Application to Global Equity Market.” The Economic Journal 119: 158–171. doi:10.1111/j.1468-0297.2008.02208.x.
  • Diebold, F. X., and K. Yilmaz. 2012. “Better to Give Than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 28 (1): 57–66. doi:10.1016/j.ijforecast.2011.02.006.
  • Diebold, F. X., and K. Yılmaz. 2014. “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.” Journal of Econometrics 182 (1): 119–134. doi:10.1016/j.jeconom.2014.04.012.
  • Elnahass, M., V. Q. Trinh, and T. Li. 2021. “Global Banking Stability in the Shadow of COVID-19 Outbreak.” Journal of International Financial Markets, Institutions and Money 72: 101322. doi:10.1016/j.intfin.2021.101322.
  • Fang, Y., Z. Shao, and Y. Zhao. 2023. “Risk Spillovers in Global Financial Markets: Evidence from the COVID-19 Crisis.” International Review of Economics & Finance 83: 821–840. doi:10.1016/j.iref.2022.10.016.
  • Fijorek, K., A. Jurkowska, and I. Jonek-Kowalska. 2021. “Financial Contagion Between the Financial and the Mining Industries – Empirical Evidence Based on the Symmetric and Asymmetric CoVar Approach.” Resources Policy 70: 101965. doi:10.1016/j.resourpol.2020.101965.
  • Gabauer, D., and R. Gupta. 2018. “On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach.” Economics Letters 171: 63–71. doi:10.1016/j.econlet.2018.07.007.
  • Ghazani, M. M., R. Khosravi, and M. Caporin. 2023. “Analyzing Interconnection Among Selected Commodities in the 2008 Global Financial Crisis and the COVID-19 Pandemic.” Resources Policy 80: 103157. doi:10.1016/j.resourpol.2022.103157.
  • Goldstein, I., R. S. J. Koijen, and H. M. Mueller. 2021. “COVID-19 and Its Impact on Financial Markets and the Real Economy.” The Review of Financial Studies 34 (11): 5135–5148. doi:10.1093/rfs/hhab085.
  • Guidolin, M., E. Hansen, and M. Pedio. 2019. “Cross-Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach.” Journal of Financial Markets 45: 83–114. doi:10.1016/j.finmar.2019.04.001.
  • Guo, Y., P. Li, and A. Li. 2021. “Tail Risk Contagion Between International Financial Markets During COVID-19 Pandemic.” International Review of Financial Analysis 73: 101649. doi:10.1016/j.irfa.2020.101649.
  • Guo, H., X. Zhao, H. Yu, and X. Zhang. 2021. “Analysis of Global Stock markets’ Connections with Emphasis on the Impact of COVID-19.” Physica A: Statistical Mechanics and Its Applications 569: 125774. doi:10.1016/j.physa.2021.125774.
  • Haddad, V., A. Moreira, T. Muir, and I. Goldstein. 2021. “When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response.” The Review of Financial Studies 34 (11): 5309–5351. doi:10.1093/rfs/hhaa145.
  • Huynh, T. L. D., M. A. Nasir, S. P. Nguyen, and D. Duong. 2020. “An Assessment of Contagion Risks in the Banking System Using Non-Parametric and Copula Approaches.” Economic Analysis and Policy 65: 105–116. doi:10.1016/j.eap.2019.11.007.
  • Illing, M., and Y. Liu. 2006. “Measuring Financial Stress in a Developed Country: An Application to Canada.” Journal of Financial Stability 2 (3): 243–265. doi:10.1016/j.jfs.2006.06.002.
  • Ji, Q., E. Bouri, and D. Roubaud. 2018. “Dynamic Network of Implied Volatility Transmission Among US Equities, Strategic Commodities, and BRICS Equities.” International Review of Financial Analysis 57: 1–12. doi:10.1016/j.irfa.2018.02.001.
  • Kargar, M., B. Lester, D. Lindsay, S. Liu, P. Weill, and D. Zúñiga. 2021. “Corporate Bond Liquidity During the COVID-19 Crisis.” The Review of Financial Studies 34 (11): 5352–5401. doi:10.1093/rfs/hhab063.
  • Karkowska, R., and S. Urjasz. 2021. “Connectedness Structures of Sovereign Bond Markets in Central and Eastern Europe.” International Review of Financial Analysis 74: 101644. doi:10.1016/j.irfa.2020.101644.
  • Liow, K. H., W. Liao, and Y. Huang. 2018. “Dynamics of International Spillovers and Interaction: Evidence from Financial Market Stress and Economic Policy Uncertainty.” Economic Modelling 68: 96–116. doi:10.1016/j.econmod.2017.06.012.
  • Liu, B., Y. Fan, Q. Ji, and N. Hussain. 2022. “High-Dimensional CoVar Network Connectedness for Measuring Conditional Financial Contagion and Risk Spillovers from Oil Markets to the G20 Stock System.” Energy Economics 105: 105749. doi:10.1016/j.eneco.2021.105749.
  • Liu, H., A. Manzoor, C. Wang, L. Zhang, and Z. Manzoor. 2020. “The COVID-19 Outbreak and Affected Countries Stock Markets Response.” International Journal of Environmental Research and Public Health 17 (8). doi:10.3390/ijerph17082800.
  • Li, Y., X. Zhuang, J. Wang, and Z. Dong. 2021. “Analysis of the Impact of COVID-19 Pandemic on G20 Stock Markets.” The North American Journal of Economics and Finance 58: 101530. doi:10.1016/j.najef.2021.101530.
  • Long, T. Q., and P. J. Morgan. 2022. “Monetary Policies and Financial Stress During the COVID-19 Pandemic: An Event Study Analysis.” Emerging Markets Finance and Trade. doi:10.1080/1540496X.2022.2148462.
  • Luo, C., L. Liu, and D. Wang. 2021. “Multiscale Financial Risk Contagion Between International Stock Markets: Evidence from EMD-Copula-CoVar Analysis.” The North American Journal of Economics and Finance 58: 101512. doi:10.1016/j.najef.2021.101512.
  • Mensi, W., S. Hammoudeh, D. K. Nguyen, and S. H. Kang. 2016. “Global Financial Crisis and Spillover Effects Among the U.S. and BRICS Stock Markets.” International Review of Economics and Finance 42: 257–276. doi:10.1016/j.iref.2015.11.005.
  • Mzoughi, H., A. Ben Amar, F. Belaid, and K. Guesmi. 2022. “The Impact of COVID-19 Pandemic on Islamic and Conventional Financial Markets: International Empirical Evidence.” The Quarterly Review of Economics and Finance 85: 303–325. doi:10.1016/j.qref.2022.04.007.
  • Naseem, S., M. Mohsin, W. Hui, G. Liyan, and K. Penglai. 2021. “The Investor Psychology and Stock Market Behavior During the Initial Era of COVID-19: A Study of China, Japan, and the United States.” Frontiers in Psychology 12: 626934. doi:10.3389/fpsyg.2021.626934.
  • Pak, A., O. A. Adegboye, A. I. Adekunle, K. M. Rahman, E. S. McBryde, and D. P. Eisen. 2020. “Economic Consequences of the COVID-19 Outbreak: The Need for Epidemic Preparedness.” Frontiers in Public Health 8: 241. doi:10.3389/fpubh.2020.00241.
  • Paltalidis, N., D. Gounopoulos, R. Kizys, and Y. Koutelidakis. 2015. “Transmission Channels of Systemic Risk and Contagion in the European Financial Network.” Journal of Banking & Finance 61: S36–52. doi:10.1016/j.jbankfin.2015.03.021.
  • Park, C., and R. V. Mercado. 2014. “Determinants of Financial Stress in Emerging Market Economies.” Journal of Banking & Finance 45: 199–224. doi:10.1016/j.jbankfin.2013.09.018.
  • Raddant, M., and D. Y. Kenett. 2021. “Interconnectedness in the Global Financial Market.” Journal of International Money and Finance 110: 102280. doi:10.1016/j.jimonfin.2020.102280.
  • Samitas, A., E. Kampouris, and S. Polyzos. 2022. “Covid-19 Pandemic and Spillover Effects in Stock Markets: A Financial Network Approach.” International Review of Financial Analysis 80: 102005. doi:10.1016/j.irfa.2021.102005.
  • Schularick, M., and A. M. Taylor. 2012. “Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870—2008.” The American Economic Review 102: 1029–1061. doi:10.1257/aer.102.2.1029.
  • So, M. K. P., A. M. Y. Chu, and T. W. C. Chan. 2021. “Impacts of the COVID-19 Pandemic on Financial Market Connectedness.” Finance Research Letters 38: 101864. doi:10.1016/j.frl.2020.101864.
  • Stolbov, M., and M. Shchepeleva. 2016. “Financial Stress in Emerging Markets: Patterns, Real Effects, and Cross-Country Spillovers.” Review of Development Finance 6 (1): 71–81. doi:10.1016/j.rdf.2016.05.004.
  • Tabak, B. M., I. Silva, and T. C. Silva. 2022. “Analysis of Connectivity Between the World’s Banking Markets: The COVID-19 Global Pandemic Shock.” The Quarterly Review of Economics and Finance 84: 324–336. doi:10.1016/j.qref.2022.03.002.
  • Tiwari, A. K., E. J. A. Abakah, A. O. Adewuyi, and C. Lee. 2022. “Quantile Risk Spillovers Between Energy and Agricultural Commodity Markets: Evidence from Pre and During COVID-19 Outbreak.” Energy Economics 113: 106235. doi:10.1016/j.eneco.2022.106235.
  • Wen, X., Y. Wei, and D. Huang. 2012. “Measuring Contagion Between Energy Market and Stock Market During Financial Crisis: A Copula Approach.” Energy Economics 34 (5): 1435–1446. doi:10.1016/j.eneco.2012.06.021.
  • White, H., T. Kim, and S. Manganelli. 2015. “VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.” Journal of Econometrics 187 (1): 169–188. doi:10.1016/j.jeconom.2015.02.004.
  • Yu, H., W. Chu, Y. A. Ding, and X. Zhao. 2021. “Risk Contagion of Global Stock Markets Under Covid‐19: A Network Connectedness Method.” Accounting and Finance (Parkville) 61 (4): 5745–5782. doi:10.1111/acfi.12775.
  • Zaremba, A., R. Kizys, D. Y. Aharon, and Z. Umar. 2022. “Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond Markets.” Finance Research Letters 44: 102042. doi:10.1016/j.frl.2021.102042.
  • Zhang, D., M. Hu, and Q. Ji. 2020. “Financial Markets Under the Global Pandemic of COVID-19.” Finance Research Letters 36: 101528. doi:10.1016/j.frl.2020.101528.
  • Zhang, W., X. Zhuang, and Y. Lu. 2020. “Spatial Spillover Effects and Risk Contagion Around G20 Stock Markets Based on Volatility Network.” The North American Journal of Economics and Finance 51: 101064. doi:10.1016/j.najef.2019.101064.
  • Zhao, X., W. Zhang, and Y. Liu. 2020. “Volatility Spillovers and Risk Contagion Paths with Capital Flows Across Multiple Financial Markets in China.” Emerging Markets Finance and Trade 56 (4): 731–749. doi:10.1080/1540496X.2018.1472080.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.