Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic
Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.
Black swan effect, Contagion, Coronavirus, Spillover effect, covid-19, return and volatility transmission, COVID-19, Return and volatility transmission, Black swan, Spillovers effect
Yarovaya, Larisa
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Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Goodell, John W.
5b95370b-3bc7-4ceb-adcc-1ba5255c3865
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
July 2022
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Goodell, John W.
5b95370b-3bc7-4ceb-adcc-1ba5255c3865
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa, Brzeszczynski, Janusz, Goodell, John W., Lucey, Brian and Lau, Chi Keung Marco
(2022)
Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic.
Journal of International Financial Markets, Institutions and Money, 79, [101589].
(doi:10.1016/j.intfin.2022.101589).
Abstract
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.
Text
Rethinking Financial Contagion_accepted copy
- Accepted Manuscript
More information
Accepted/In Press date: 19 May 2022
e-pub ahead of print date: 25 May 2022
Published date: July 2022
Additional Information:
Publisher Copyright:
© 2022
Keywords:
Black swan effect, Contagion, Coronavirus, Spillover effect, covid-19, return and volatility transmission, COVID-19, Return and volatility transmission, Black swan, Spillovers effect
Identifiers
Local EPrints ID: 469916
URI: http://eprints.soton.ac.uk/id/eprint/469916
ISSN: 1042-4431
PURE UUID: c957d340-53a2-4124-85b1-a02e008b5e3f
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Date deposited: 28 Sep 2022 17:01
Last modified: 25 May 2024 04:01
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Contributors
Author:
Janusz Brzeszczynski
Author:
John W. Goodell
Author:
Brian Lucey
Author:
Chi Keung Marco Lau
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