Crisis transmission: Visualizing vulnerability

Dungey, Mardi; Islam, Raisul; Volkov, Vladimir

doi:10.1016/j.pacfin.2019.101255

Cited by 6 publications

(3 citation statements)

References 112 publications

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“…Recently, Dungey et al. ( 2020 ) provided evidence of no new systemic crises emerging from China to other global markets given the resurgence in systemic risk. While our study purports to identify sources of crisis, the case for China is particularly interesting.…”

Section: Resultsmentioning

confidence: 99%

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Contagion or interdependence? Comparing spillover indices

Islam

Volkov

2021

Empir Econ

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We propose a novel risk measure that is built on comparing high-frequency time-varying volatility and low-frequency return spillover estimates. This measure permits to identify the markets that are epidemic in their complex interdependence. We conjecture that initially a highly volatile market experiences episodes of risk transmission, but only later absorbs risk and becomes an epidemic market. Moreover, we can detect newly emerging ‘contagion’ in the system. We examine the behaviour of 30 global equity markets and compare spillover measures, which encapsulate many large and small crises episodes. Instead of relying on ex post crisis information, our model identifies crises periods. An important implication of the proposed approach is that highly interrelated markets, such as China, are less likely to transmit a global economic crisis under the current interdependence setting.

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Section: Resultsmentioning

confidence: 99%

“…Further, the rapid accumulation of credit bubbles spurs macroeconomic vulnerabilities and systemic connections in equity markets, which provides a perfect platform for modelling crisis (Dungey et al. 2020 ; Krishnamurthy and Muir 2017 ; Alan and Alexi 2014 ; Adrian and Shin 2009 ; Reinhart and Rogoff 2009 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Contagion or interdependence? Comparing spillover indices

Islam

Volkov

2021

Empir Econ

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“…Given that the empirical results of contagion tests are conditional on the choice of crisis and noncrisis dates, rolling contagion tests are performed for robustness checks. [ 31 ]…”

Section: Empirical Analysismentioning

confidence: 99%

Contagion in Global Stock Markets during the COVID‐19 Crisis

Liu

Wei

2021

Global Challenges

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The impact of the coronavirus disease (COVID‐19) outbreak on global stock markets is investigated by analyzing the impact of the COVID‐19 pandemic on the stock markets of 15 countries selected from Asia, Europe, Latin America, and North America. Using extremal dependence tests of contagion, it is found that contagion effects are widespread to global equity markets in four regions. Latin America and North America are highly exposed to contagion risks, followed by Europe, with Asia being least vulnerable. Based on the time window of the crisis severity index, it is found that Latin America is most likely to be affected. The results confirm that for countries with more severe epidemics, there are stronger contagion effects. Therefore, for the governing authorities of various countries, if they want to prevent the contagion of financial crises during the pandemic, strong and timely epidemic prevention measures are very necessary.

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