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 co-skewness 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.
Keywords: financial contagion; markets; health crisis; co-skewness