Stock markets and the COVID-19 fractal contagion effects
This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock
markets. The stock market information of the top 32 coronavirus affected economies (as of …
markets. The stock market information of the top 32 coronavirus affected economies (as of …
Covid-19 pandemic and spillover effects in stock markets: A financial network approach
This paper examines the impact of the COVID-19 pandemic on 51 major stock markets, both
emerging and developed. We isolated the countries susceptible to shock transmissions, and …
emerging and developed. We isolated the countries susceptible to shock transmissions, and …
Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic
Since the level of markets' information efficiency is key to profiteering by strategic players,
Shocks; such as the COVID-19 pandemic, can play a role in the nature of markets' …
Shocks; such as the COVID-19 pandemic, can play a role in the nature of markets' …
Measuring systemic risk in the global banking sector: A cross-quantilogram network approach
We propose a new systemic risk index based on the interdependence of extreme downside
movements of stock returns using the cross-quantilogram and network analysis approach …
movements of stock returns using the cross-quantilogram and network analysis approach …
Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory
H Wang, Y Yuan, Y Li, X Wang - Economic Modelling, 2021 - Elsevier
We propose a new approach to the study of financial contagion and contagion channels in
the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) …
the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) …
[HTML][HTML] A new way of measuring effects of financial crisis on contagion in currency markets
Contagion is an extremely important topic in finance. Contagion is at the core of most major
financial crises, in particular the global financial crisis that started in 2007. Although various …
financial crises, in particular the global financial crisis that started in 2007. Although various …
The impact of COVID-19 on the standard & poor 500 index sectors: A multivariate generalized autoregressive conditional heteroscedasticity model
M Elhini, R Hammam - Journal of Chinese Economic and Foreign …, 2021 - emerald.com
Purpose This paper aims to examine the impact of the daily growth rate of COVID-19 cases
in the USA (COVIDg), the Federal Fund Rate (FFR) and the trade-weighted US dollar index …
in the USA (COVIDg), the Federal Fund Rate (FFR) and the trade-weighted US dollar index …
Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?
This paper examined the presence of daily returns coherence and spillover between 30
forex markets over the complete sample and crisis sub-periods. We mainly employed the …
forex markets over the complete sample and crisis sub-periods. We mainly employed the …
Exploring the spatial linkage network of peer-to-peer lending in China
Z Chong, X Wei - Physica A: Statistical Mechanics and its Applications, 2023 - Elsevier
The existing literature on peer-to-peer (P2P) lending focuses on default rates, regulation, the
relationship with traditional banks, and its impact on individual and corporate lending …
relationship with traditional banks, and its impact on individual and corporate lending …
Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network
S Tian, S Li, Q Gu - International Review of Financial Analysis, 2023 - Elsevier
We use the daily data of 45 listed financial institutions between January 1, 2008 and
January 31, 2022 to conduct a functional data analysis (FDA) to measure the systemic risk of …
January 31, 2022 to conduct a functional data analysis (FDA) to measure the systemic risk of …