Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?

被引：0

作者：

Zhou, Yuqin ^{[1
]}

Wu, Shan ^{[2
]}

Liu, Zhenhua ^{[3
]}

机构：

[1] Chongqing Normal Univ, Sch Econ & Management, Chongqing, Peoples R China

[2] Nanjing Univ Finance & Econ, Sch Finance, Nanjing, Peoples R China

[3] China Univ Min & Technol, Sch Econ & Management, Xuzhou, Peoples R China

来源：

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2024年 / 11卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Stock indices; COVID-19; network; volatility spillovers; CONNECTEDNESS; TRANSMISSION; VARIANCE; DYNAMICS; EQUITY; BOND;

D O I：

10.1142/S2424786323500433

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the volatility spillover and connectedness among the stock markets of G7, BRICS countries, and other countries where COVID-19 is more severe. For this investigation, we perform static and rolling-window analysis to measure volatility spillovers using the spillover index approach and LASSO-VAR for estimating high-dimensional VARs. We also examine the network connectedness at different periods. Our findings indicate that the recent COVID-19 pandemic intensifies volatility spillovers, supporting the financial contagion effects. Furthermore, the United States, Spain, and Russia markets are net volatility transmitters for most of the period before and during the COVID-19 pandemic.

引用

页数：24

共 50 条

[31] Intraday Volatility Spillovers among European Financial Markets during COVID-19
Aslam, Faheem
Ferreira, Paulo
Mughal, Khurrum Shahzad
Bashir, Beenish
[J]. INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2021, 9 (01): : 1 - 19
[32] Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic
Cheng, Ing-Haw
[J]. REVIEW OF ASSET PRICING STUDIES, 2020, 10 (04): : 635 - 668
[33] Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19
Lohana, Sarika
Yadav, Miklesh Prasad
Rekha, A. G.
[J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2024, 27 (02)
[34] Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets
Hanif, Waqas
Mensi, Walid
Gubareva, Mariya
Teplova, Tamara
[J]. RESOURCES POLICY, 2023, 80
[35] COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets
Mensi, Walid
Vo, Xuan Vinh
Kang, Sang Hoon
[J]. ECONOMIC ANALYSIS AND POLICY, 2022, 74 : 702 - 715
[36] COVID-19 pandemic and connectedness across financial markets
Naeem, Muhammad Abubakr
Sehrish, Saba
Costa, Mabel D.
[J]. PACIFIC ACCOUNTING REVIEW, 2021, 33 (02) : 165 - 178
[37] Volatility in International Stock Markets: An Empirical Study during COVID-19
Chaudhary, Rashmi
Bakhshi, Priti
Gupta, Hemendra
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (09)
[38] Spillovers and tail dependence between oil and US sectoral stock markets before and during COVID-19 pandemic
Mensi, Walid
Hanif, Waqas
Bouri, Elie
Vo, Xuan Vinh
[J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2023,
[39] The Impact of the COVID-19 Outbreak on the Volatility of Stock Markets as an Information Channel
Akan, Yusuf
Ustalar, Sinem Atici
[J]. MALIYE DERGISI, 2021, (180): : 326 - 344
[40] Effects of investor sentiment and country governance on unexpected conditional volatility during the COVID-19 pandemic: Evidence from global stock markets
Hsu, Yu-Lin
Tang, Leilei
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2022, 82

← 1 2 3 4 5 →