From Pandemic to Financial Contagion: High-Frequency Risk Metrics and Bayesian Volatility Analysis

ABSTRACT

This is an event-based study that uses intraday (hourly) log returns to quantify Conditional Value-at-Risk (CVaR) and MCMC stochastic volatility before and during the Covid-19 pandemic (January 2019–June 2020) across the stock, commodity and cryptocurrency markets. The results indicate pandemic-induced risk exposure (expected shortfall), increasing volatility, and stronger cross-market integration. These effects might reduce the potential benefits of cross-market hedging and contribute to a global financial contagion, imposing an additional constraint on both the bank-level risk management strategy and macroprudential policy framework. Thus, the ongoing crisis can be amplified through the global financial spillovers.