Fry-McKibbin, Renee; Greenwood‐Nimmo, Matthew; Hsiao, … - 2021
We study the distribution of equity returns in the G20 equity markets to test for contagion following the first …. We find evidence of contagion of Chinese equity market tail risk in early 2020 followed by widespread evidence of … contagion across multiple channels from the U.S. to G20 equity markets after the pandemic announcement. Our results suggest that …