Financial risk contagion across markets in China under the impact of the COVID-19 pandemic

被引：1

作者：

Ji, Sunan ^{[1
]}

Zheng, Dazhi ^{[2
]}

Zhou, Kaiguo ^{[3
]}

机构：

[1] Kunming Univ Sci & Technol, Fac Management & Econ, Kunming 650504, Peoples R China

[2] West Chester Univ, Coll Business & Publ Management, W Chester, PA 19383 USA

[3] Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2025年 / 71卷

基金：

中国国家社会科学基金;

关键词：

Financial markets; Financial risk; Cross-market contagion; COVID-19;

D O I：

10.1016/j.frl.2024.106373

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO2 emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.

引用

页数：11

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