Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic.

Yarovaya, Larisa; Brzeszczyński, Janusz; Goodell, John W.; Lucey, Brian; Lau, Chi Keung Marco

Abstract

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.

Citation

YAROVAYA, L, BRZESZCZYŃSKI, J., GOODBELL, J., LUCEY, B. and LAU, C.K.M. 2022. Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic. Journal of international financial markets, institutions and money [online], 80, article 101589. Available from: https://doi.org/10.1016/j.intfin.2022.101589

• Journal Article Type: Article
• Acceptance Date: May 19, 2022
• Online Publication Date: May 25, 2022
• Publication Date: Jul 31, 2022
• Deposit Date: Apr 28, 2023
• Publicly Available Date: May 26, 2023
• Journal: Journal of international financial markets, institutions and money
• Print ISSN: 1042-4431
• Electronic ISSN: 1873-0612
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 79
• Article Number: 101589
• DOI: https://doi.org/10.1016/j.intfin.2022.101589
• Keywords: Contagion; COVID-19; Return and volatility transmission; Spillovers effect; Coronavirus; Black swan
• Public URL: https://rgu-repository.worktribe.com/output/1925378