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Good and bad high-frequency volatility spillovers among developed and emerging stock markets

Author

Listed:
  • Walid Mensi
  • Ramzi Nekhili
  • Xuan Vinh Vo
  • Sang Hoon Kang

Abstract

Purpose - This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns. Design/methodology/approach - This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility. Findings - The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects. Originality/value - The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

Suggested Citation

  • Walid Mensi & Ramzi Nekhili & Xuan Vinh Vo & Sang Hoon Kang, 2021. "Good and bad high-frequency volatility spillovers among developed and emerging stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 18(9), pages 2107-2132, August.
    • Handle: RePEc:eme:ijoemp:ijoem-01-2021-0074
    DOI: 10.1108/IJOEM-01-2021-0074
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