Shock Resistors or Transmitters? Contagion across Industries and Countries during the COVID-19 Pandemic and the Global Financial Crisis

Harb, Hadi; Umutlu, Mehmet

Abstract

We examine how global shocks from various sources propagate across industries and countries. Financial contagion is measured using residual-based and volatility-adjusted correlation. Specific industries and countries were resilient during both global crises, while others played a significant role in transmitting shocks.

Citation

Harb, H., & Umutlu, M. (online). Shock Resistors or Transmitters? Contagion across Industries and Countries during the COVID-19 Pandemic and the Global Financial Crisis. Economics Letters, https://doi.org/10.1016/j.econlet.2024.112026

• Journal Article Type: Article
• Acceptance Date: Oct 12, 2024
• Online Publication Date: Oct 13, 2024
• Deposit Date: Oct 14, 2024
• Publicly Available Date: Oct 14, 2024
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• DOI: https://doi.org/10.1016/j.econlet.2024.112026
• Keywords: Contagion, COVID-19 pandemic, global financial crisis, correlation, international diversification