Financial Contagion During COVID–19 Crisis

33 Pages Posted: 26 Apr 2020 Last revised: 20 May 2020

See all articles by Md Akhtaruzzaman

Md Akhtaruzzaman

Australian Catholic University

Sabri Boubaker

Ecole de Management de Normandie

Ahmet Sensoy

Borsa Istanbul

Date Written: March 30, 2020


This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, financial and non-financial firms alike, experience significant increase in dynamic conditional correlations between their stock returns. However, the magnitude of increase in these correlations is considerably higher for financial firms during the COVID-19 outbreak, indicating the importance of their role in financial contagion transmission. They also show that optimal hedge ratios increase significantly in most cases, implying higher hedging costs during the COVID-19 period.

Keywords: COVID–19; financial contagion; spillover index; financial firms; nonfinancial firms; hedge ratio

JEL Classification: G15; G20; G21; G22; G23

Suggested Citation

Akhtaruzzaman, Md and Boubaker, Sabri and Sensoy, Ahmet, Financial Contagion During COVID–19 Crisis (March 30, 2020). Finance Research Letters, Forthcoming, Available at SSRN: or

Md Akhtaruzzaman (Contact Author)

Australian Catholic University ( email )

Level 20, Tenison Woods House, 8-20 Napier St
North Sidney, NSW 2060

Sabri Boubaker

Ecole de Management de Normandie ( email )

9 rue Claude Bloch
Le Havre Cedex, Cedex 4 14052 Caen

HOME PAGE: http://

Ahmet Sensoy

Borsa Istanbul ( email )

Reşitpaşa mh.
Tuncay Artun cd.
Istanbul, 34467

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics