波动性(金融)
经济
溢出效应
计量经济学
社会联系
库存(枪支)
金融经济学
2019年冠状病毒病(COVID-19)
已实现方差
波动率互换
分位数
货币经济学
隐含波动率
微观经济学
工程类
病理
机械工程
医学
传染病(医学专业)
心理治疗师
疾病
心理学
作者
Walid Mensi,Ramzi Nekhili,Xuan Vinh Vo,Sang Hoon Kang
标识
DOI:10.1108/ijoem-01-2021-0074
摘要
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.
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