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

Author

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  • Yuqin Zhou

    (School of Economics and Management, Chongqing Normal University, Chongqing, P. R. China)

  • Shan Wu

    (��School of Finance, Nanjing University of Finance and Economics, Nanjing, P. R. China)

  • Zhenhua Liu

    (��School of Economics and Management, China University of Mining and Technology, Xuzhou, P. R. China)

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.

Suggested Citation

  • Yuqin Zhou & Shan Wu & Zhenhua Liu, 2024. "Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-24, June.
    • Handle: RePEc:wsi:ijfexx:v:11:y:2024:i:02:n:s2424786323500433
    DOI: 10.1142/S2424786323500433
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    More about this item

    Keywords

    Stock indices; COVID-19; network; volatility spillovers;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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