Abstract
This article proposes a new nonparametric test to detect financial contagion by using a Kendall’s tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance and good power in finite sample of our test. An empirical application of our test on exchange rate markets before and after the COVID-19 pandemic exhibits evidence of contagion between the pairs of AUD-CNY, AUD-JPY, CNY-JPY and EUR-JPY. Comparing the comovement changes at different pandemic prevention policy stages, the JPY currency is contagious with all other exchange rates and is the principal risk-bearer on exchange markets, whereas the EUR is more independent, with no evidence of contagion between the EUR and other currencies except JPY. These findings provide valuable reference and implications for policymakers and financial investors.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
