Does the risk spillover in global financial markets intensify during major public health emergencies? Evidence from the COVID-19 crisis

Taking the COVID-19 as an example, we study the impact of major public health emergencies on global financial risk spillovers. We found that the increase in the severity of the epidemic will increase the imported and exported financial risks of the economy, and the improvement in the degree of epidemic prevention and control will have a restraining effect on risk contagion. From a market perspective, the stock and bond markets are the main channel of risk import. In terms of different economies. In terms of different economies, emerging and developing economies are more affected by major public health emergencies compared to developed economies, yet proactive prevention and control measures demonstrate a more significant impact in these regions. The economy with greater response of government policies has the greater the inhibitory effect of epidemic prevention and control on imported and exported financial risks. In addition, the outbreak of Delta and Omicron variants will strengthen the risk-stimulating effect of the severity of the epidemic and weaken the risk-inhibiting effect of epidemic prevention and control. On this basis, we put forward targeted risk prevention and control recommendations.