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Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period

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  • Maghyereh, Aktham
  • Awartani, Basel
  • Abdoh, Hussein

Abstract

This paper studies risk transmissions in six global markets: the US, Japan, Canada, Germany, the UK, and France. The paper distinguishes between the good volatility from increases in intra-day prices and the bad volatility that arises from intra-day price declines. Our results indicate persistent and uniform asymmetries in the information transmission mechanism: the bad volatility spillovers in the system are higher than the spillovers of good volatility. These pronounced asymmetries are countercyclical because they strengthen after the interest rate declines and weaken after it rises. Finally, there are clear bursts in risk transfer and asymmetries during the times of the global financial crisis and the COVID pandemic crisis. These findings have important implications for risk forecasting, asset pricing, and portfolio diversification.

Suggested Citation

  • Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    • Handle: RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x
    DOI: 10.1016/j.jeca.2021.e00239
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    3. Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
    4. Karamti, Chiraz & Jeribi, Ahmed, 2023. "Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    5. O'Donnell, Niall & Shannon, Darren & Sheehan, Barry, 2023. "A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
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    7. Alshater, Muneer M. & Alqaralleh, Huthaifa & El Khoury, Rim, 2023. "Dynamic asymmetric connectedness in technological sectors," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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    More about this item

    Keywords

    Volatility connectedness; Spillovers semi variance; Asymmetric effects; Financial crisis;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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