The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies

Mukhriz Izraf Azman Aziz, Norzalina Ahmad, Jin Zichu and Safwan Mohd Nor
Additional contact information
Mukhriz Izraf Azman Aziz: School of Economics, Finance and Banking, Universiti Utara Malaysia, 06010 Sintok, Malaysia
Norzalina Ahmad: School of Economics, Finance and Banking, Universiti Utara Malaysia, 06010 Sintok, Malaysia
Jin Zichu: School of Economics, Finance and Banking, Universiti Utara Malaysia, 06010 Sintok, Malaysia
Safwan Mohd Nor: Faculty of Business, Economics and Social Development, University of Malaysia Terengganu, 21030 Kuala Nerus, Malaysia

Mathematics, 2022, vol. 10, issue 9, 1-22

Abstract: This paper explores the impact of the COVID-19 pandemic on the connectedness of stock indexes in the group of developed and emerging economies known as the ASEAN+3. We derived our empirical findings from the Diebold and Yilmaz (DY12) and Baruník and Křehlík (BK18) spillover methods, using daily data from 10 May 2005 to 24 February 2021. We show that the COVID-19 pandemic has had a bigger impact on the return and volatilities of ASEAN+3 stock markets than previous economic turmoil, such as the 2008 global financial crisis and the 2009–2012 European debt crisis. Using a frequency domain methodology, we find evidence that return spillovers mostly occur in the short-term, while volatility connectedness is more pronounced in the long-term. The Singapore stock market primarily acts the as top transmitter in returns and volatilities, whereas Vietnam has become the top receiver of shocks in returns. We also demonstrate that it is possible to replicate the frequency-domain connectedness measures of BK18 with a DY12 methodology. Using a series decomposed with a wavelet-based approach, we find that the total spillover indices for short-, medium-, and long-term frequencies computed with the DY12 approach are comparable to the within connectedness indices of BK18. Our results have important policy implications for investors, regulators, and policy makers.

Keywords: stock index return; volatilities; connectedness; COVID-19; ASEAN+3 (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.mdpi.com/2227-7390/10/9/1417/pdf (application/pdf)
https://www.mdpi.com/2227-7390/10/9/1417/ (text/html)

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:gam:jmathe:v:10:y:2022:i:9:p:1417-:d:800134

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().