Dynamics of Volatility Spillover among the US and emerging Asian stock markets amid the COVID-19 pandemic
Journal Title: Inverge Journal of Social Sciences - Year 2023, Vol 2, Issue 3
Abstract
This study examines the dynamics of volatility Spillover among the US and emerging Asian Stock markets (China, Pakistan, India, Malaysia and Korea) amid the COVID-19 pandemic. The analysis used data of daily stock returns and the time period is divided into two phases: pre and during COVID-19. The pre period is from November 1st, 2017 to November 30th, 2019 and during period is from December 1st, 2019 to December 31st, 2021. The pre-period has been taken for comparative purpose. The Spillover index method provided by Diebold and Yilmaz (2012) is use to check these dynamics. The findings indicate the presence of integration and the asymmetric volatility Spillover among these sampled stock markets. The transmission pattern of volatility Spillover is bidirectional. The Korean Composite Stock Price Index (KOSPI) is the only market that transmitted less and also received less volatility Spillover from other stock markets. The US (S&P 500) being highly affected country by pandemic transmitted higher volatility Spillover to others rather than receiving while China being pandemic originating country lies on a moderate level; not highly affected by others nor affect others. The findings of the present study help investors and portfolio managers to diversify their portfolio accordingly while help policy makers to design strategies to protect their financial markets from future uncertain events. The study have significant implications for risk minimization and portfolio diversification.
Authors and Affiliations
Mariyam Qadir Dr Muhammad Owais Dr Saqib Gulzar
Keywords
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- EP ID EP724352
- DOI https://doi.org/10.1022/ijss.v2i3.46
- Views 41
- Downloads 0
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