IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL

Nadia Arfaoui () and Imran Yousaf
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Nadia Arfaoui: ESCT - Business School of Tunis, University of Manouba, Manouba, Tunisia

Annals of Financial Economics (AFE), 2022, vol. 17, issue 01, 1-25

Abstract: This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers.

Keywords: Crude oil; Bitcoin; gold; stocks; COVID-19 pandemic; volatility spillover (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:17:y:2022:i:01:n:s201049522250004x

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DOI: 10.1142/S201049522250004X

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