Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis

• We study how shocks spread across sectors and countries over the last two global crises. • We use residual-based and volatility-adjusted correlation as a measure of contagion. • Some sectors and countries were shock-resistant while others were transmitters. • The ability to spot immune markets has implications for portfolio diversification. We examine how global shocks from various sources propagate across industries and countries. Financial contagion is measured using residual-based and volatility-adjusted correlation. Specific industries and countries were resilient during both global crises, while others played a significant role in transmitting shocks.