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

Author

Listed:
  • Ji, Sunan
  • Zheng, Dazhi
  • Zhou, Kaiguo

Abstract

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.

Suggested Citation

  • Ji, Sunan & Zheng, Dazhi & Zhou, Kaiguo, 2025. "Financial risk contagion across markets in China under the impact of the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014028
    DOI: 10.1016/j.frl.2024.106373
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    More about this item

    Keywords

    Financial markets; Financial risk; Cross-market contagion; COVID-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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