Is China a source of financial contagion?

Akhtaruzzaman, Md and Abdel-Qader, Waleed and Hammami, Helmi and Shams, Syed (2021) Is China a source of financial contagion? Finance Research Letters, 38:101393. pp. 1-13. ISSN 1544-6123


Abstract

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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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Faculty/School / Institute/Centre: Historic - Faculty of Business, Education, Law and Arts - School of Commerce (1 Jul 2013 - 17 Jan 2021)
Faculty/School / Institute/Centre: Historic - Faculty of Business, Education, Law and Arts - School of Commerce (1 Jul 2013 - 17 Jan 2021)
Date Deposited: 28 Jul 2020 00:43
Last Modified: 13 Apr 2021 04:46
Uncontrolled Keywords: Financial contagion; Spillover index; Dynamic conditional correlation; Business cycle; Trade intensity
Fields of Research (2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
Identification Number or DOI: https://doi.org/10.1016/j.frl.2019.101393
URI: http://eprints.usq.edu.au/id/eprint/39076

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