Abstract
Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO2 emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.
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