Financial contagion during COVID–19 crisis
buir.contributor.author | Şensoy, Ahmet | |
dc.citation.epage | 101604-20 | en_US |
dc.citation.spage | 101604-1 | en_US |
dc.citation.volumeNumber | 38 | en_US |
dc.contributor.author | Akhtaruzzaman, M. | |
dc.contributor.author | Boubaker, S. | |
dc.contributor.author | Şensoy, Ahmet | |
dc.date.accessioned | 2021-03-01T11:10:14Z | |
dc.date.available | 2021-03-01T11:10:14Z | |
dc.date.issued | 2020-05 | |
dc.department | Department of Management | en_US |
dc.description.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. | en_US |
dc.description.provenance | Submitted by Evrim Ergin (eergin@bilkent.edu.tr) on 2021-03-01T11:10:14Z No. of bitstreams: 1 Financial_contagion_during_COVID–19_crisis.pdf: 4022892 bytes, checksum: a3c9008fe4f701acd7de1bbf639a0f9e (MD5) | en |
dc.description.provenance | Made available in DSpace on 2021-03-01T11:10:14Z (GMT). No. of bitstreams: 1 Financial_contagion_during_COVID–19_crisis.pdf: 4022892 bytes, checksum: a3c9008fe4f701acd7de1bbf639a0f9e (MD5) Previous issue date: 2020-05 | en |
dc.embargo.release | 2022-05-23 | |
dc.identifier.doi | 10.1016/j.frl.2020.101604 | en_US |
dc.identifier.eissn | 1544-6131 | en_US |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | http://hdl.handle.net/11693/75662 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.isversionof | https://doi.org/10.1016/j.frl.2020.101604 | en_US |
dc.source.title | Finance Research Letters | en_US |
dc.subject | COVID–19 | en_US |
dc.subject | Ffinancial contagion | en_US |
dc.subject | Spillover index | en_US |
dc.subject | Financial firms | en_US |
dc.subject | Nonfinancial firms | en_US |
dc.subject | Hedge ratios | en_US |
dc.title | Financial contagion during COVID–19 crisis | en_US |
dc.type | Article | en_US |
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