This question, as mentioned, in incredibly broad. So, of course, this answer will not be complete. Also, I am unsure what you mean by "financial". I will try to answer this question, assuming that by "financial" you mean, specifically 'stock/bond' market.
Here is one link from NBER which should help you get started, kinda, since it only scrapes the surface.
There are two sections to consider:
Theoretical: As far as traditional, not necessarily classical, economic theory is concerned, stock and bond markets are corollaries and ancillaries of several factors of economic activity, e.g. capital market, money market, investment, employment etc.. That is, the financial market should just be an indication and investing mechanism based on real economic factors.
Practical, Modern: Now, since so many different corporations and businesses invest and are invested in the stock/financial markets, volatility in the stock/financial market will affect them directly, or indirectly.
Directly: If these companies invest and are invested in, their valuation and/or income will be affect by market swings. For example, many of the financial firms which went under in the crisis.
Indirectly: The shifts in the market can affect the global position of investing. Attitude is perhaps the largest impact felt from the shifts in financial markets. If the general attitude on investing shifts, it makes it harder for new companies to gain investors, i.e. capital.