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

The sudden and rapid spread of the novel coronavirus (COVID-19) has had a severe impact on financial markets and economic activities all over the world. The purpose of this paper is to investigate the existence and intensity of financial contagion during the COVID-19 outbreak. We use daily series of stock indexes of 10 Asian countries (Taiwan, Hong Kong, Singapore, India, Indonesia, Malaysia, South Korea, Vietnam, Australia and China) and 4 American countries (the United-States, Brazil, Mexico, and Argentina) over the period starting from January 1st, 2014 to June 30th, 2021.

Spatial financial contagion during the COVID-19 outbreak: Local correlation approach.

The purpose of this paper is to examine the effect of spatial proximity on financial contagion during the COVID-19 outbreak. We use the daily stock index series of Asian, American, and European countries from January 1, 2014 to January 30, 2021. Two groups of countries are considered: the first includes China and geographically close countries, namely Taiwan, Hong Kong, Singapore, India, Australia, Indonesia, Malaysia, South Korea, Singapore, Vietnam and Russia.