Financial contagion during COVID–19 crisis

buir.contributor.authorŞensoy, Ahmet
dc.citation.epage101604-20en_US
dc.citation.spage101604-1en_US
dc.citation.volumeNumber38en_US
dc.contributor.authorAkhtaruzzaman, M.
dc.contributor.authorBoubaker, S.
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2021-03-01T11:10:14Z
dc.date.available2021-03-01T11:10:14Z
dc.date.issued2020-05
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.provenanceSubmitted 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.provenanceMade 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: 2020-05en
dc.embargo.release2022-05-23
dc.identifier.doi10.1016/j.frl.2020.101604en_US
dc.identifier.eissn1544-6131en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/75662
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.frl.2020.101604en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectCOVID–19en_US
dc.subjectFfinancial contagionen_US
dc.subjectSpillover indexen_US
dc.subjectFinancial firmsen_US
dc.subjectNonfinancial firmsen_US
dc.subjectHedge ratiosen_US
dc.titleFinancial contagion during COVID–19 crisisen_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Financial_contagion_during_COVID–19_crisis.pdf
Size:
3.84 MB
Format:
Adobe Portable Document Format
Description:

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: