Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis

Shubham Kakran, Vineeta Kumari, Parminder Kaur Bajaj and Arpit Sidhu

The Journal of Economic Asymmetries, 2024, vol. 29, issue C

Abstract: This study investigates return spillovers in APEC region stock markets influenced by three major crises (the global financial crisis (GFC), the COVID-19 Pandemic, and the Russia- Ukraine conflict). The Diebold and Yilmaz (2012) approach with the Baruník and Křehlík (2018) methodology is employed. The results indicate that the spillover effect is crisis-sensitive, time-varying, and frequency-dependent across the APEC countries' equity markets. The GFC had the most significant spillover effect, followed by COVID-19 and the Russia-Ukraine conflict. While New Zealand, Vietnam, and the Philippines are the net risk recipients, the larger economies of the US, Canada, and Mexico are net risk contributors. Moreover, we analyzed return spillover across three different frequencies for three sub-periods, revealing that the GFC dominates short-term spillovers (five days/one week), while COVID-19 dominates long-term (above five days). Results reveal a fascinating aspect of hedging, highlighting that its costs are higher over the long term than the short term. Interestingly, hedging proves to be more effective over a long time, particularly during crises, thus emphasizing the crucial role played by the time-investment horizon factor.

Keywords: Return spillovers; Stock market integration; Diebold-Yilmaz; Global financial crisis; COVID-19; Russia-Ukraine crises (search for similar items in EconPapers)
JEL-codes: C32 G1 G14 G15 G18 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1703494923000543
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000543

DOI: 10.1016/j.jeca.2023.e00342

Access Statistics for this article

The Journal of Economic Asymmetries is currently edited by A.G. Malliaris

More articles in The Journal of Economic Asymmetries from Elsevier
Bibliographic data for series maintained by Catherine Liu ().