COVID19 Outbreak Impact on International Stock Markets Volatility Contagion

Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales

Magnolia Miriam Sosa Castro (), Edgar Ortiz () and Alejandra Cabello-Rosales ()
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Magnolia Miriam Sosa Castro: Universidad Nacional Autónoma de México (México)
Edgar Ortiz: Universidad Nacional Autónoma de México (México)
Alejandra Cabello-Rosales: Universidad Nacional Autónoma de México (México)

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2023, vol. 35, issue 1, 175-200

Abstract: We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of thirteen markets from January/1st to June/25th 2020 are employed. Once volatility is modeled, the incidence of Chinese and American markets on the rest of the bourses is tested employing Vector Autoregressive Markov Switching Models. Evidence confirms incidence of the Chinese and American capital markets volatility in other markets volatility; common breakpoints and Intermarket incidence in high volatility periods stand out.

Keywords: volatility contagion; Markov Switching Model; Garch Approach; Stock Markets; Covid 19; contagio en volatilidad; Modelo de cambio de régimen Markoviano; modelos GARCH; mercados Accionarios (search for similar items in EconPapers)
JEL-codes: C57 C58 F36 G01 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:pab:rmcpee:v:35:y:2023:i:1:p:175-200

DOI: 10.46661/revmetodoscuanteconempresa.6478

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