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COVID19 Outbreak Impact on International Stock Markets Volatility Contagion
[Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales]

Author

Listed:
  • Sosa Castro, Magnolia Miriam

    (Universidad Nacional Autónoma de México (México))

  • Ortiz, Edgar

    (Universidad Nacional Autónoma de México (México))

  • Cabello-Rosales, Alejandra

    (Universidad Nacional Autónoma de México (México))

Abstract

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of thirteen markets from January/1st to June/25th 2020 are employed. Once volatility is modeled, the incidence of Chinese and American markets on the rest of the bourses is tested employing Vector Autoregressive Markov Switching Models. Evidence confirms incidence of the Chinese and American capital markets volatility in other markets volatility; common breakpoints and Intermarket incidence in high volatility periods stand out.

Suggested Citation

  • Sosa Castro, Magnolia Miriam & Ortiz, Edgar & Cabello-Rosales, Alejandra, 2023. "COVID19 Outbreak Impact on International Stock Markets Volatility Contagion [Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 35(1), pages 175-200, June.
    • Handle: RePEc:pab:rmcpee:v:35:y:2023:i:1:p:175-200
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.6478
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    More about this item

    Keywords

    volatility contagion; Markov Switching Model; Garch Approach; Stock Markets; Covid 19; contagio en volatilidad; Modelo de cambio de régimen Markoviano; modelos GARCH; mercados Accionarios;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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