 Stock Market Volatility Spillovers in G7 and BRICPing Zhang, Yezhou Sha and Yifan Xu Emerging Markets Finance and Trade, 2021, vol. 57, issue 7, 2107-2119 Abstract: With the global integration development, the linkage between countries is strengthened in the dynamic spillover effects between BRIC and G7 from 2009 to 2020. We find that G7 is the exporter of risk, and BRIC is the receiver of the risk. We build the spillover model from the DAG-SVAR model. In the static spillover analysis, the net spillover of G7 is higher than that of BRIC. In the dynamic spillover analysis, the total systemic spillover is highly consistent with the world’s risk events. We also consider the directional spillover between G7 and BRIC, and find the volatility spillover of G7 to other markets is higher than that of BRIC. Furthermore, we use the European Debt Crisis, the China-US Trade War, and the Covid-19 Pandemic to study the spillover network’s dynamic evolution. We find that the global financial market’s spillover network is enhanced, and the volatility net spillover increased rapidly after the corresponding events. Specifically, after the Wuhan lockdown, China’s net spillover increased sharply to 264%, ranked first globally, and the net volatility spillover connectedness increased substantially after the Covid-19 Pandemic. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:57:y:2021:i:7:p:2107-2119 Ordering information: This journal article can be ordered from DOI: 10.1080/1540496X.2021.1908256 Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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