Good and bad high-frequency volatility spillovers among developed and emerging stock markets
Date
2023
Authors
Mensi, W.
Nekhili, R.
Vo, X.V.
Kang, S.H.
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Journal article
Citation
International Journal of Emerging Markets, 2023; 18(9):2107-2132
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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.
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Copyright 2022 Emerald Publishing Limited