Good and bad high-frequency volatility spillovers among developed and emerging stock markets
International Journal of Emerging Markets
; : 26, 2021.
Article
in English
| Web of Science | ID: covidwho-1388091
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.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
International Journal of Emerging Markets
Year:
2021
Document Type:
Article
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