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Futures market and the contagion effect of COVID-19 syndrome

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  • Banerjee, Ameet Kumar

Abstract

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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  • Banerjee, Ameet Kumar, 2021. "Futures market and the contagion effect of COVID-19 syndrome," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000994
    DOI: 10.1016/j.frl.2021.102018
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    19. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
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    More about this item

    Keywords

    Futures market; COVID-19; Asymmetric DCC EGARCH; Financial contagion;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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