Futures market and the contagion effect of COVID-19 syndrome.

• The first paper to study financial contagion in derivative markets during the COVID-19 crisis period. • The paper is the first to analyze financial contagion from china to its major trading partners, which includes both developed and emerging countries (17 in total number). • The paper uses a modified framework to capture asymmetry, spillover and contagion, and or interdependence. • The study results document financial contagion in 13 developed and emerging economies, and 4 exhibiting interdependence. • It provides useful insights into a different class of market participants like policymakers, investors, and risk managers. The paper aims to investigate the existence of financial contagion between China and its major trading partners during the ongoing COVID-19 pandemic using the multivariate ADCC-EGARCH model. The analysis results reveal significant financial contagion in most developed and emerging markets having significant trade relationships with China during COVID-19 syndrome. The evidence about financial contagion is vital for regulators and different classes of market participants for varying purposes, and hence the results should find practical implications similar to policymakers, investors, and risk managers. [ABSTRACT FROM AUTHOR]