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From pandemic to financial contagion: High-frequency risk metrics and Bayesian volatility analysis
- Source :
- Finance Research Letters. 42:101913
- Publication Year :
- 2021
- Publisher :
- Elsevier BV, 2021.
-
Abstract
- This is an event-based study that uses intraday (hourly) log returns to quantify Conditional Value-at-Risk (CVaR) and MCMC stochastic volatility before and during the Covid-19 pandemic (January 2019–June 2020) across the stock, commodity and cryptocurrency markets. The results indicate pandemic-induced risk exposure (expected shortfall), increasing volatility, and stronger cross-market integration. These effects might reduce the potential benefits of cross-market hedging and contribute to a global financial contagion, imposing an additional constraint on both the bank-level risk management strategy and macroprudential policy framework. Thus, the ongoing crisis can be amplified through the global financial spillovers.
Details
- ISSN :
- 15446123
- Volume :
- 42
- Database :
- OpenAIRE
- Journal :
- Finance Research Letters
- Accession number :
- edsair.doi...........53c9530d31f94ca9e5000b08a81927c9