Good and bad high-frequency volatility spillovers among developed and emerging stock markets

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo and Sang Hoon Kang

International Journal of Emerging Markets, 2021, vol. 18, issue 9, 2107-2132

Abstract: Purpose - This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns. Design/methodology/approach - This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility. Findings - The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects. Originality/value - The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

Keywords: Asymmetric spillovers; Connectedness network; Stock markets; COVID-19 news; High-frequency analysis (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:ijoem-01-2021-0074

DOI: 10.1108/IJOEM-01-2021-0074

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