Is China a source of financial contagion?

被引：32

作者：

Akhtaruzzaman, Md ^{[1
,4
]}

Abdel-Qader, Waleed ^{[1
]}

Hammami, Helmi ^{[2
]}

Shams, Syed ^{[3
]}

机构：

[1] Australian Catholic Univ, Peter Faber Business Sch, 532-06-15 Tenison Woods House,8-20 Napier St, Canberra, ACT, Australia

[2] Rennes Sch Business, Rennes, France

[3] Univ Southern Queensland, St Lucia, Qld 4300, Australia

[4] UCB Capital Management Ltd, Dhaka, Bangladesh

来源：

FINANCE RESEARCH LETTERS | 2021年 / 38卷

关键词：

Financial contagion; Spillover index; Dynamic conditional correlation; Business cycle; Trade intensity; HETEROSKEDASTICITY; TRANSMISSION;

D O I：

10.1016/j.frl.2019.101393

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The study examines the role China plays compared with the US in transmitting contagion to South Asia. Trade intensity, economic downturns, and negative net equity capital outflows positively influence dynamic conditional correlations between South Asian and US/Chinese financial stock returns. Chinese and US financial firms transmitted more spillovers than they received during the global financial crisis. Results are robust to the use of USD or local currency returns, and the alternative specification of the Diebold-Yilmaz model. The role of Chinese financial firms in transmitting shocks to South Asia may be of interest to policymakers, regulators, and other market participants.

引用

页数：13

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