Futures market and the contagion effect of COVID-19 syndrome

The paper aims to investigate the existence of financial contagion between China and its major trading partners during the ongoing COVID-19 pandemic using the multivariate ADCC-EGARCH model. The analysis results reveal significant financial contagion in most developed and emerging markets having sig...

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Detalles Bibliográficos
Autor principal: Banerjee, Ameet Kumar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8596880/
https://www.ncbi.nlm.nih.gov/pubmed/34803533
http://dx.doi.org/10.1016/j.frl.2021.102018
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author Banerjee, Ameet Kumar
author_facet Banerjee, Ameet Kumar
author_sort Banerjee, Ameet Kumar
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description The paper aims to investigate the existence of financial contagion between China and its major trading partners during the ongoing COVID-19 pandemic using the multivariate ADCC-EGARCH model. The analysis results reveal significant financial contagion in most developed and emerging markets having significant trade relationships with China during COVID-19 syndrome. The evidence about financial contagion is vital for regulators and different classes of market participants for varying purposes, and hence the results should find practical implications similar to policymakers, investors, and risk managers.
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spelling pubmed-85968802021-11-17 Futures market and the contagion effect of COVID-19 syndrome Banerjee, Ameet Kumar Financ Res Lett Article The paper aims to investigate the existence of financial contagion between China and its major trading partners during the ongoing COVID-19 pandemic using the multivariate ADCC-EGARCH model. The analysis results reveal significant financial contagion in most developed and emerging markets having significant trade relationships with China during COVID-19 syndrome. The evidence about financial contagion is vital for regulators and different classes of market participants for varying purposes, and hence the results should find practical implications similar to policymakers, investors, and risk managers. Elsevier Inc. 2021-11 2021-03-13 /pmc/articles/PMC8596880/ /pubmed/34803533 http://dx.doi.org/10.1016/j.frl.2021.102018 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Banerjee, Ameet Kumar
Futures market and the contagion effect of COVID-19 syndrome
title Futures market and the contagion effect of COVID-19 syndrome
title_full Futures market and the contagion effect of COVID-19 syndrome
title_fullStr Futures market and the contagion effect of COVID-19 syndrome
title_full_unstemmed Futures market and the contagion effect of COVID-19 syndrome
title_short Futures market and the contagion effect of COVID-19 syndrome
title_sort futures market and the contagion effect of covid-19 syndrome
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8596880/
https://www.ncbi.nlm.nih.gov/pubmed/34803533
http://dx.doi.org/10.1016/j.frl.2021.102018
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