COVID-19 大流行病影响下的中国跨市场金融风险传染

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-30 DOI:10.1016/j.frl.2024.106373

Sunan Ji , Dazhi Zheng , Kaiguo Zhou

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引用次数: 0

摘要

利用增强的事件研究方法，我们有效地考虑了与 COVID-19 相关的统计信息和潜在信息对金融市场的影响。我们还引入了二氧化碳排放数据来研究 COVID-19 的间接影响。结果表明，货币市场、房地产市场和债券市场是 COVID-19 期间的风险传染中心。房地产市场和货币市场受 COVID-19 的影响最大。房地产市场受到统计信息和潜在信息的显著影响，而货币市场则主要受到潜在信息的影响。

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Financial risk contagion across markets in China under the impact of the COVID-19 pandemic

Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO₂ emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance