Financial network connectedness and systemic risk during the COVID-19 pandemic

Mike K. P. SO, Lupe S. H. CHAN, Man Ying Amanda CHU

Research output: Contribution to journalArticlespeer-review

1 Citation (Scopus)

Abstract

The COVID-19 pandemic causes a huge number of infections. The outbreak of COVID-19 has not only caused substantial healthcare impacts, but also affected the world economy and financial markets. In this paper, we study the effect of the COVID-19 pandemic on financial market connectedness and systemic risk. Specifically, we test dynamically whether the network density of pandemic networks constructed by the number of COVID-19 confirmed cases is a leading indicator of the financial network density and portfolio risk. Using rolling-window Granger-causality tests, we find strong evidence that the pandemic network density leads the financial network density and portfolio risk from February to April 2020. The findings suggest that the COVID-19 pandemic may exert significant impact on the systemic risk in financial markets. Copyright © 2021 The Author(s).
Original languageEnglish
JournalAsia-Pacific Financial Markets
Early online date14 Jun 2021
DOIs
Publication statusE-pub ahead of print - 14 Jun 2021

Citation

So, M. K. P., Chan, L. S. H., & Chu, A. M. Y. (2021). Financial network connectedness and systemic risk during the COVID-19 pandemic. Asia-Pacific Financial Markets. Advance online publication. doi: 10.1007/s10690-021-09340-w

Keywords

  • Financial contagion
  • Granger causality
  • Network density
  • Pandemic network
  • Risk analytics

Fingerprint

Dive into the research topics of 'Financial network connectedness and systemic risk during the COVID-19 pandemic'. Together they form a unique fingerprint.