Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?

Yuqin Zhou, Shan Wu and Zhenhua Liu
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Yuqin Zhou: School of Economics and Management, Chongqing Normal University, Chongqing, P. R. China
Shan Wu: ��School of Finance, Nanjing University of Finance and Economics, Nanjing, P. R. China
Zhenhua Liu: ��School of Economics and Management, China University of Mining and Technology, Xuzhou, P. R. China

International Journal of Financial Engineering (IJFE), 2024, vol. 11, issue 02, 1-24

Abstract: This paper investigates the volatility spillover and connectedness among the stock markets of G7, BRICS countries, and other countries where COVID-19 is more severe. For this investigation, we perform static and rolling-window analysis to measure volatility spillovers using the spillover index approach and LASSO-VAR for estimating high-dimensional VARs. We also examine the network connectedness at different periods. Our findings indicate that the recent COVID-19 pandemic intensifies volatility spillovers, supporting the financial contagion effects. Furthermore, the United States, Spain, and Russia markets are net volatility transmitters for most of the period before and during the COVID-19 pandemic.

Keywords: Stock indices; COVID-19; network; volatility spillovers (search for similar items in EconPapers)
JEL-codes: C13 G10 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S2424786323500433

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