The DOI matches its Crossref record; 192 of the 192 references it cites were found in a registry or an index.
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Open accessAbstract
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.
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Cites
1 retracted
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
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When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks
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Better to give than to receive: Predictive directional measurement of volatility spillovers
Diebold, F. X., & Yilmaz, K. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.006 · Cited by 5,756
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Diebold, F. X., & Yılmaz, K. (2014) · Journal of Econometrics · doi:10.1016/j.jeconom.2014.04.012 · Cited by 4,642
No Contagion, Only Interdependence: Measuring Stock Market Comovements
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Cited by
Corbet, S., Goodell, J. W., & Günay, S. (2020) · Energy Economics · doi:10.1016/j.eneco.2020.104978 · Cited by 292
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Metadata
- Authors
- Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M.
- Venue
- Journal of International Financial Markets, Institutions and Money
- Publisher
- Elsevier BV
- Published
- 2022-07
- Volume
- 79
- Pages
- 101589
- ISSN
- 1042-4431 (ISSN-L)
- OpenAlex
- W4281569893
- Cited by
- 267
- References
- 192
- FWCI
- 34.48
- Type
- journal article
- Language
- en
- Open access
- green
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- Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022). Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. Journal of International Financial Markets, Institutions and Money. https://doi.org/10.1016/j.intfin.2022.101589
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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