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This dissertation was written as part of the MSc in Banking and Finance, at the International Hellenic University. Aims to explore, identify and critically analyze the nature of the financial contagion. Consists an investigation of the global markets’ interdependences and captures the time varying correlations among the nations, during the Covid-19 era. It is not yet clear enough if the outbreak of the pandemic will trigger the next financial recession, but it is quite clear that the markets around the world have experienced a strong shock. This research will investigate the spread of the financial contagion effect from China to the markets of Canada, France, Germany, Italy, Japan, United Kingdom, United States of America and Russia. It is going to be held in two different time-horizons, the “before” and the “after” the Corona Virus outbreak. This analysis intends to confirm the findings within the existing literature and expand the latter further, by taking into consideration the extreme market conditions that COVID-19 elicited. Having taken into consideration the possible limitations of the DCC-GARCH approach, the findings provide evidence of financial contagion in the five out of the eight sampled countries. The output of the applied model suggests that the time varying conditional correlations increase after the pandemic’s shock. The first part of this dissertation provides a systematic and methodical review of the existing literature. The second part refers to the methodologies followed in the past, the methodology and the data selected for the purpose of this specific research. The third part presents the descriptive statistics of the dataset including the variables’ testing. The fourth part, reports and discusses the results of the implemented approach, while the fifth and last part concludes with the main findings and recommendations for further research.