 Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflictYi Zhang, Long Zhou, Zhidong Liu and Baoxiu Wu The North American Journal of Economics and Finance, 2025, vol. 75, issue PA Abstract: This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs. Keywords: Market spillovers; Implied volatility index; BRICS; COVID-19 crisis; Russo-Ukrainian crisis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400233x DOI: 10.1016/j.najef.2024.102308 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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