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Article Dans Une Revue Finance Research Letters Année : 2021

Is China a source of financial contagion?


The study examines the role China plays compared with the US in transmitting contagion to South Asia. Trade intensity, economic downturns, and negative net equity capital outflows positively influence dynamic conditional correlations between South Asian and US/Chinese financial stock returns. Chinese and US financial firms transmitted more spillovers than they received during the global financial crisis. Results are robust to the use of USD or local currency returns, and the alternative specification of the Diebold–Yilmaz model. The role of Chinese financial firms in transmitting shocks to South Asia may be of interest to policymakers, regulators, and other market participants.
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hal-03329091 , version 1 (30-08-2021)



Md Akhtaruzzaman, Waleed Abdel-Qader, Helmi Hammami, Syed Shams. Is China a source of financial contagion?. Finance Research Letters, 2021, 38, pp.101393. ⟨10.1016/⟩. ⟨hal-03329091⟩
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