Financial Contagion: A Systematic Literature Review

Abstract

Purpose – This study aims to provide a comprehensive overview of the available information on the financial contagion/contagion effect during the COVID-19 pandemic through a systematic literature review.
Design/methodology/approach – Financial contagion, the phenomenon of events spreading and affecting financial markets, has gathered significant attention from scholars and practitioners. Numerous studies have been conducted on this topic, necessitating a thorough examination to understand the diverse approaches and findings related to financial contagion. Therefore, we conducted a review of financial contagion/contagion effect studies in the Web of Science (WoS) and the Scopus databases, analyzing 37 articles.
Results – His review, based on selected keywords and defined criteria, had a total of 1,160 citations referencing these articles as of December 2024. Notably, the multivariate GARCH models, the VAR model, and the Copula model emerged as prominent methodologies for investigating the financial contagion effect.
Discussion – By synthesizing current research findings, we offer insights into potential directions for future studies on this vital subject, thus contributing to a deeper understanding of financial contagion/contagion effect.