COVID-19 and asymmetric volatility spillovers across global stock markets

Wenqi Li

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: In this study, I improve the assessment of asymmetry in volatility spillovers, and define six asymmetric spillover indexes. Employing Diebold-Yilmaz spillover index, network analysis, and my developed asymmetric spillover index, this study investigates the time-varying volatility spillovers and asymmetry in spillovers across stock markets of the U.S., Japan, Germany, the U.K., France, Italy, Canada, China, India, and Brazil based on high-frequency data from June 1, 2009, to August 28, 2020. I find that the global markets are well connected, and volatility spillovers across global stock markets are time-varying, crisis-sensitive, and asymmetric. Developed markets are the main risk transmitters, and emerging markets are the main risk receivers. Downside risk dominates financial contagion effects, and a great deal of downside risk spilled over from stock markets of risk transmitters into the global markets. Moreover, during the coronavirus recession, the total degree of volatility spillover is staying at an extremely high level, and emerging markets are the main risk receivers in the 2020 stock markets crash.

Keywords: COVID-19; 2020 stock market crash; Asymmetric spillovers; Developed markets; Emerging markets (search for similar items in EconPapers)
JEL-codes: C32 D82 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000954

DOI: 10.1016/j.najef.2021.101474

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