Work

Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis

Year: 2024

Type: article

Abstract: We examine how global shocks from various sources propagate across industries and countries to identify shock-resistant markets and shock transmitters during the last two global crises. To quantify financial contagion, we utilize a residual-based and volatility-adjusted correlation measure that isolates the effects of common risk factors and changes in volatility. We find that specific industries and countries exhibited resilience during both global crises, while others played a significant role in transmitting shocks. In turbulent market conditions, the capacity to identify immune industries and countries provides global investors with actionable insights, thereby helping enhance their portfolio stability.

Source: Economics Letters

DOI: 10.1016/j.econlet.2024.112026

Authors: Hadi Harb, Mehmet Umutlu

Institutions: Arts, Sciences and Technology University in Lebanon, Yaşar University, Edinburgh Napier University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,980

OpenAlex ID: W4403366405

FWCI: 2.864

Cites: 12

Cited by: 8

Related to: 10