Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday

Sun-Yong Choi

The North American Journal of Economics and Finance, 2022, vol. 59, issue C

Abstract: We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility of each sector in the S&P 500 index and implement a static and rolling-window analysis following the Diebold and Yilmaz (2012) approach. We find that the pandemic enhanced volatility spillovers, which reveals the financial contagion effects on the US stock market. Second, there were sudden, large changes in the dynamic volatility spillovers on Black Monday (March 9, 2020), much of it due to the energy sector shock. These findings have important implications for portfolio managers and policymakers.

Keywords: Volatility spillovers; S&P 500 index; COVID-19 pandemic; Black Monday (search for similar items in EconPapers)
JEL-codes: C58 G01 G12 Q43 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002102

DOI: 10.1016/j.najef.2021.101614

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