The Experts below are selected from a list of 15735 Experts worldwide ranked by ideXlab platform
Brian M Lucey - One of the best experts on this subject based on the ideXlab platform.
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rethinking Financial Contagion information transmission mechanism during the covid 19 pandemic
Social Science Research Network, 2020Co-Authors: Larisa Yarovaya, Janusz Brzeszczynski, John W Goodell, Brian M Lucey, Chi Keung LauAbstract:Rapidly growing numbers of empirical papers assessing the Financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of Contagion phenomenon. This paper provides a review of conceptual approaches to studying Financial Contagion at four levels of information transmission: (i) Catalyst of Contagion; (ii) Media Attention; (iii) Spillover effect at Financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in Contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on Financial markets during the pandemic and its aftermath.
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the Contagion effects of the covid 19 pandemic evidence from gold and cryptocurrencies
Finance Research Letters, 2020Co-Authors: Brian M Lucey, Shaen Corbet, Charles James LarkinAbstract:At the beginning of the 2020 global COVID-2019 pandemic, Chinese Financial markets acted as the epicentre of both physical and Financial Contagion. Our results indicate that a number of characteristics expected during a “flight to safety” were present during the period analysed. The volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous Financial stress. We provide a number of observations as to why this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new Financial product within mainstream portfolio design through the diversification benefits provided.
Sabri Boubaker - One of the best experts on this subject based on the ideXlab platform.
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Financial Contagion during covid 19 crisis
Social Science Research Network, 2020Co-Authors: Sabri Boubaker, Ahmet SensoyAbstract:This study examines how Financial Contagion occurs through Financial and nonFinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, Financial and non-Financial firms alike, experience significant increase in dynamic conditional correlations between their stock returns. However, the magnitude of increase in these correlations is considerably higher for Financial firms during the COVID-19 outbreak, indicating the importance of their role in Financial Contagion transmission. They also show that optimal hedge ratios increase significantly in most cases, implying higher hedging costs during the COVID-19 period.
Ahmet Sensoy - One of the best experts on this subject based on the ideXlab platform.
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Financial Contagion during covid 19 crisis
Social Science Research Network, 2020Co-Authors: Sabri Boubaker, Ahmet SensoyAbstract:This study examines how Financial Contagion occurs through Financial and nonFinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, Financial and non-Financial firms alike, experience significant increase in dynamic conditional correlations between their stock returns. However, the magnitude of increase in these correlations is considerably higher for Financial firms during the COVID-19 outbreak, indicating the importance of their role in Financial Contagion transmission. They also show that optimal hedge ratios increase significantly in most cases, implying higher hedging costs during the COVID-19 period.
Matthew Pritsker - One of the best experts on this subject based on the ideXlab platform.
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a rational expectations model of Financial Contagion
Journal of Finance, 2002Co-Authors: Laura E Kodres, Matthew PritskerAbstract:We develop a multiple asset rational expectations model of asset prices to explain Financial market Contagion. Although the model allows Contagion through several channels, our focus is on Contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to shared macroeconomic risks. The pattern and severity of Financial Contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate Contagion in the absence of news, as well as between markets that do not directly share macroeconomic risks. A SPATE OF RECENT Financial CRISES-the Mexican crisis of 1995, the Asian crisis of 1997 to 1998, the default of the Russian government in August 1998, the sharp depreciation of the real in Brazil in 1999-have been accompanied by episodes of Financial markets Contagion in which many countries have experienced increases in the volatility and comovement of their Financial asset markets on a day-to-day basis. The pattern of Contagion has been uneven across both time and countries-with increased volatility and comovement occurring principally during times of Financial and exchange rate crises-and with some countries, particularly those with emerging Financial markets, having experienced the bulk of the Contagion, while countries with more developed markets have remained relatively unscathed. Although heightened Financial market volatility is to be expected within countries experiencing Financial and exchange rate crises, the pattern of comovement across countries is not easily explained. Some of the increased comovement among countries that compete through trade or share close economic links can be rationalized on the basis of macroeconomic theory, but these theories are less persuasive in accounting for the increased comove
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a rational expectations model of Financial Contagion
Social Science Research Network, 1998Co-Authors: Laura E Kodres, Matthew PritskerAbstract:We develop a multiple asset rational expectations model of asset prices to study the determinants of Financial market Contagion, and to provide an explanation for the pattern of Contagion during the Asian Financial crisis. Our findings show that the pattern and severity of Financial Contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a Financial market also increases its susceptibility to Contagion. We focus on Contagion through the cross-market hedging of macroeconomic risks. Through this channel, idiosyncratic shocks in one market are transmitted to others. Interestingly, Contagion can occur between markets that have no macroeconomic risks in common. In addition, Contagion occurs in the absence of any news, and before the macroeconomic risk factors are realized. Because Contagion occurs through hedging, the pattern of Contagion is strongly influenced by the presence or absence of derivatives markets for unbundling and hedging the macroeconomic risks. Errors in market participants' beliefs about dynamic hedging activity influence the pattern of Contagion and, in some cases, strongly magnify the size of the contagious price responses.
Chi Keung Lau - One of the best experts on this subject based on the ideXlab platform.
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rethinking Financial Contagion information transmission mechanism during the covid 19 pandemic
Social Science Research Network, 2020Co-Authors: Larisa Yarovaya, Janusz Brzeszczynski, John W Goodell, Brian M Lucey, Chi Keung LauAbstract:Rapidly growing numbers of empirical papers assessing the Financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of Contagion phenomenon. This paper provides a review of conceptual approaches to studying Financial Contagion at four levels of information transmission: (i) Catalyst of Contagion; (ii) Media Attention; (iii) Spillover effect at Financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in Contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on Financial markets during the pandemic and its aftermath.