Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic
Journal of International Financial Markets, Institutions and Money
; : 101589, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1867278
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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Journal of International Financial Markets, Institutions and Money
Year:
2022
Document Type:
Article
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