Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments

Ying Yuan and Xinyu Du

Physica A: Statistical Mechanics and its Applications, 2023, vol. 628, issue C

Abstract: Different from the literature on return and volatility spillovers, this paper extends existing studies by examining spillover effects on jumps and higher moments (realized skewness and realized kurtosis) among international stock markets. Especially, considering the impact of the COVID-19 pandemic, this paper uses the 5-min data from September 2, 2019, to September 1, 2020, and uses the TVP-VAR model to detect variations in dynamic spillovers between stable and COVID-19 periods. To further investigate the heterogeneity of dynamic spillovers, our sample data is divided into developed and emerging markets. Our results suggest that all spillovers seem to increase during crisis periods. Besides, the connectedness of jumps is most sensitive to the COVID-19 outbreak, whereas higher moments indicators can reflect more information. In addition, compared with emerging markets, developed markets present a higher interdependence on average and serve as the main net jump transmitters before the COVID-19. The paper emphasizes the importance of considering jumps and higher moments indicators besides return and volatility when studying spillovers.

Keywords: Spillovers of higher moments; Jump spillover; The COVID-19 pandemic; Emerging and developed markets; Stock markets (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:628:y:2023:i:c:s0378437123007215

DOI: 10.1016/j.physa.2023.129166

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