Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic.

In times of crisis, stock markets experience a significant increase in return volatility, which leads to spillovers across equity sectors. The purpose of this study is to investigate the asymmetric spillovers across ten U.S. equity sectors, representing different industries. Daily prices of sector indices were collected from 02 January 2018 to 22 October 2021 for the analysis. In addition, the study applied Diebold and Yilmaz's (2012) dynamic spillover methodology, along with the static and rolling windows phenomena, to examine the daily returns spillovers across sector indices. The results indicate that 82 % of volatility forecast error variance in U.S sector indices is due to the spillover effect. Moreover, both industrials and financials exhibit the highest gross spillovers to other sectors, while they also receive the highest spillovers from other sectors. Furthermore, the oil and gas sector and utilities sector receive the highest net returns spillovers. These empirical findings provide crucial information regarding the interdependence of U.S. sector indices during the COVID-19 pandemic, which is relevant for investors and practitioners.

Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19.

The COVID-19 pandemic has resulted in significant financial losses globally, increasing the volatility of financial assets. Thus, this study models the stock market volatility of developed economies during the COVID-19 pandemic. For this purpose, we used the GJR-GARCH (Albulescu, 2020; Albulescu, 2020) [1,1] econometric model on the daily time series returns data ranging from 01st-July-2019 to 18th-November-2020. The entire dataset was equally divided into two subsets; before COVID-19, and after the COVID-19. The empirical results of this study showed the presence of volatility clustering, leverage effect, and excess kurtosis indicating leptokurtic phenomena in all stock indices returns. In addition to this, it can be noted that compared to before COVID-19, the stock markets showed negative returns, and increased volatility during the COVID-19. Hence, based on these findings, this study provides significant insights for global stock market investors and economic policymakers regarding financial portfolio construction particularly during crises times.