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.