An Application of the Forbes & Rigobon and Fry, Martin & Tang Methodologies for Assessing Financial Contagion; [Uma Aplicação das Metodologias de Forbes & Rigobon e Fry, Marting e Tang para Avaliação de Contagio Financeiro]; [Una Aplicación de las Metodologías de Forbes & Rigobon y Fry, Martin & Tang para la Evaluación del Contagio Financiero]

Paper Details

Authors: Arévalo J.L.S.; da Costa Silva I.L.

DOI: 10.58416/GCG.2026.V20.N2.04

Journal: Journal Globalization, Competitiveness and Governability

Year: 2026

Publisher: Georgetown University

Document Type: Article

Open Access: All Open Access; Gold Open Access

Cited by: 0

Abstract

The objective was to analyze how the health crisis caused by Covid-19 affected financial contagion between Brazil and its main trading partners. For the analysis, two complementary methodologies were employed: the covolatility test and the coskewness test, developed by Forbes & Rigobon (2002) and Fry, Martin & Tang (2010). The study reinforces the importance of considering not only correlations but also co-skewness for a deeper understanding of market dynamics. The application of the complementary methodology proposed by Fry, Martin & Tang proved to be essential for more comprehensively capturing the effects of financial contagion. © (2026), (Georgetown University). All right reserved.

Keywords

co-asimetría; co-skewness; coassimetria; Contagio financeiro; Contagio financiero; crise sanitária; crisis sanitaria; Financial contagion; health crisis; markets; mercados; mercados

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