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- Title
Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?
- Authors
Zhou, Yuqin; Wu, Shan; Liu, Zhenhua
- Abstract
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.
- Subjects
BRICS countries; RUSSIA; SPAIN; COVID-19 pandemic; EXPORT marketing; GROUP of Seven countries; STOCK price indexes; COVID-19
- Publication
International Journal of Financial Engineering, 2024, Vol 11, Issue 2, p1
- ISSN
2424-7863
- Publication type
Article
- DOI
10.1142/S2424786323500433