IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03638322.html
   My bibliography  Save this paper

Financial contagion intensity during the COVID-19 outbreak: A copula approach

Author

Listed:
  • Ramzi Benkraiem

    (Audencia Business School)

  • Riadh Garfatta
  • Faten Lakhal

    (IRG - Institut de Recherche en Gestion - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - Université Gustave Eiffel)

  • Imen Zorgati

Abstract

No abstract is available for this item.

Suggested Citation

  • Ramzi Benkraiem & Riadh Garfatta & Faten Lakhal & Imen Zorgati, 2022. "Financial contagion intensity during the COVID-19 outbreak: A copula approach," Post-Print hal-03638322, HAL.
    • Handle: RePEc:hal:journl:hal-03638322
    DOI: 10.1016/j.irfa.2022.102136
    Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-03638322
    as

    Download full text from publisher

    File URL: https://audencia.hal.science/hal-03638322/document
    Download Restriction: no
    File URL: https://libkey.io/10.1016/j.irfa.2022.102136?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    2. Yangguang Zhu & Feng Yang & Wuyi Ye, 2018. "Financial contagion behavior analysis based on complex network approach," Annals of Operations Research, Springer, vol. 268(1), pages 93-111, September.
    3. Fenech, Jean-Pierre & Vosgha, Hamed, 2019. "Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models," Economic Modelling, Elsevier, vol. 77(C), pages 81-91.
    4. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
    5. Alok Baveja & Ajai Kapoor & Benjamin Melamed, 2020. "Stopping Covid-19: A pandemic-management service value chain approach," Annals of Operations Research, Springer, vol. 289(2), pages 173-184, June.
    6. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01166135, HAL.
    7. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Post-Print halshs-01166135, HAL.
    8. Cubillos-Rocha, Juan S. & Gomez-Gonzalez, Jose E. & Melo-Velandia, Luis F., 2019. "Detecting exchange rate contagion using copula functions," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 13-22.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    2. Carlini, Federico & Farina, Vincenzo & Gufler, Ivan & Previtali, Daniele, 2024. "Do stress and overstatement in the news affect the stock market? Evidence from COVID-19 news in The Wall Street Journal," International Review of Financial Analysis, Elsevier, vol. 93(C).
    3. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
    4. Prelorentzos, Arsenios-Georgios N. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Xidonas, Panos & Goutte, Stephane & Thomakos, Dimitrios D., 2024. "Introducing the GVAR-GARCH model: Evidence from financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    5. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    6. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Petropoulou, Athina & Sivaprasad, Sheeja, 2023. "The impact of the Russian-Ukrainian war on global financial markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    7. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Benkraiem, Ramzi & Garfatta, Riadh & Lakhal, Faten & Zorgati, Imen, 2022. "Financial contagion intensity during the COVID-19 outbreak: A copula approach," International Review of Financial Analysis, Elsevier, vol. 81(C).
    2. Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Post-Print halshs-01254729, HAL.
    3. Zhun Peng, 2015. "Sensitivity of Pension Fund's Balance Sheet: a non-linear risk factor approach," Documents de recherche 15-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    4. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    5. Paul, Ananna & Shukla, Nagesh & Trianni, Andrea, 2023. "Modelling supply chain sustainability challenges in the food processing sector amid the COVID-19 outbreak," Socio-Economic Planning Sciences, Elsevier, vol. 87(PA).
    6. Srinivasan Palamalai & Kalaivani M. & Christopher Devakumar, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," SAGE Open, , vol. 3(4), pages 21582440135, November.
    7. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
    8. Ma, Yiqun & Wang, Junhao, 2021. "Time-varying spillovers and dependencies between iron ore, scrap steel, carbon emission, seaborne transportation, and China's steel stock prices," Resources Policy, Elsevier, vol. 74(C).
    9. Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022. "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, vol. 313(1), pages 77-103, June.
    10. Wahyoe Soedarmono, 2018. "Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk," Economics Bulletin, AccessEcon, vol. 38(1), pages 60-70.
    11. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37, Bank for International Settlements.
    12. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
    13. NIDHALEDDINE BEN CHEIKH & SAMI BEN NACEUR & OUSSAMA KANAAN & Christophe RAULT, 2019. "Oil Prices and GCC Stock Markets: New Evidence from Vector Smooth Transition Models," LEO Working Papers / DR LEO 2697, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    14. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
    15. Buerhan Saiti & Mansur Masih, 2016. "The Co-movement of Selective Conventional and Islamic Stock Indices: Is there any Impact on Shariah Compliant Equity Investment in China?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1895-1905.
    16. Rahim, Adam Mohamed & Masih, Mansur, 2016. "Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches," Economic Modelling, Elsevier, vol. 54(C), pages 425-438.
    17. Michel Beine & Bertrand Candelon, 2011. "Liberalisation and stock market co-movement between emerging economies," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 299-312.
    18. Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014. "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 241-252, March.
    19. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.
    20. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03638322. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.