This study aims to analyse the determinants of financial stress and to show the impact of the spatial linkages between 13 emerging economies during 1996–2016. The 2007 Global Financial Crisis has once again showed that financial/economic turmoil of countries has negative effects on other economies. At this point, this study brings novelty to the existing literature by considering the effects of neighbour countries' macroeconomic variables on domestic financial stress and by focusing on financial stress interaction between emerging economies using spatial econometric methods. According to the estimation results, we find current account balance/GDP, economic growth, geopolitical risk and global risk are the most important determinants of financial stress. It is also observed that there is a strong interaction of financial stress among emerging market economies. While geographical linkage is the most important transmission channel of financial stress among those economies, financial and trade linkages also play an important role.

This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

This paper examines the effects of the COVID-19 pandemic on the travel-tourism stock markets. Specifically, it considers the five most visited countries: France, Spain, the US, China, and Italy. Unlike previous studies, it estimates time-varying VAR (TVP-VAR) models, including daily observations of confirmed COVID-19 cases, economic activity, CDS spreads and the returns of travel-tourism sectors. In brief, our findings indicate that the effects of COVID-19 vary across countries, as well as over time. Specifically, increasing numbers of cases initially had a negative and significant impact on the travel-tourism stock returns of all countries. However, this effect had become insignificant by early April 2020. The travel-tourism markets of the European countries were seen to be more heavily affected by COVID-19 when compared to China and the US, with China seeming to have been the least affected country of all. Overall, our results are essential in understanding the impact of the COVID-19 pandemic on the travel-tourism stock markets, and are of particular importance to policymakers, portfolio managers and investors.