The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis

COVID-19 and cross-border contagion: Trade and financial flows

“…Furthermore, Calvo and Reinhart (1996) distinguished between fundamental contagion, which occurs when the infected country is linked to others through trade or finance, and contagion due to herd behaviour, which occurs when common shocks and all potential interconnection channels are not present or have been controlled. Similarly, other authors have arrived at the same results by confirming that macroeconomic rebalancing policies, such as exchange rate policies and monetary policies, can lead to cross-border contagion phenomena ( Calvo (2004 ), Calvo and Mendoza, 2000 , Caramazza et al, 2004 , Çevis et al, 2018 , Chevapatrakul and Tee, 2014 .…”

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

“…Internationally-segmented stock markets, on the other hand, enable portfolio managers to diversify and take advantage of the differences in the various markets (Graham et al, 2012). Market integration related studies have looked at specific events such as financial crises (Chevapatrakul & Tee, 2014;Răileanu-Szeles & Albu, 2015), the European Union (or Euro monetary union) implementation (Christiansen, 2014;Ogrokhina, 2015), political crises (Frijns, Tourani-Rad & Indriawan, 2012), and air crashes (Ho, Qiu & Tang, 2013), but it remains an open question as to whether these unexpected crises will weaken or strengthen the long-run relationship in aggregate stock price indices within an integrated market. For example, Yu, Fung, and Tam (2010) show that the equity market integration process of A.S.E.A.N.+3 (Association of Southeast Asian Nations) countries picked up in 2007-2008, while Wang (2014 identifies that the global financial crisis has strengthened the linkages among stock markets in East Asia, signifying that time-varying long-run relationships exist among these countries.…”

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

“… Andersen et al, 2007 , Barndorff-Nielsen and E., & Shephard, N. , 2004 , Bensaida et al, 2018 , Chevapatrakul et al, 2014 , Corsi et al, 2010 , Fenech and P., & Vosgha, H. , 2019 , Guidolin et al, 2013 , Iwanicz-Drozdowska et al, 2021 , Jawadi et al, 2015 , Kang et al, 2017 , Nitoi et al, 2020 , Reboredo et al, 2016 , Rejeb and B., & Arfaoui, M. , 2016 , Støve et al, 2014 , Sugimoto et al, 2014 , Tong et al, 1980 , Yiu et al, 2010 , Zorgati and Lakhal, 2020 .…”