A revised approach to testing for asymmetric intermarket spillover effects

Najib Shrydeh, Mohammed Shahateet, Suleiman Mohammad and Mohammad Sumadi

Cogent Economics & Finance, 2025, vol. 13, issue 1, 2440440

Abstract: This paper applies a modified DCC framework to test for asymmetric intermarket spillover effects from the US to a sample of G7 stock markets following the outbreak of the COVID-19 pandemic. The adjustment proposed in this research article addresses the shortcomings associated with the methodologies developed by, inter alia, Forbes and Rigobon (2002). The results demonstrate that spillover is less likely to propagate across highly developed and firmly integrated financial markets.This study deals with the economic impact of stock markets and produces rigorous evidence regarding this impact on theoretical and empirical literature. We hope this study will significantly illuminate the theoretical and empirical research discussions on the links between stock markets and significant economic variables.

Date: 2025
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DOI: 10.1080/23322039.2024.2440440

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