Good and bad high-frequency volatility spillovers among developed and emerging stock markets
International Journal of Emerging Markets
ISSN: 1746-8809
Article publication date: 25 August 2021
Issue publication date: 14 November 2023
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.
Keywords
Acknowledgements
The last author acknowledges the financial support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5B8103268). This research is partly funded by the University of Economics Ho Chi Minh City, Vietnam.
Citation
Mensi, W., Nekhili, R., Vo, X.V. and Kang, S.H. (2023), "Good and bad high-frequency volatility spillovers among developed and emerging stock markets", International Journal of Emerging Markets, Vol. 18 No. 9, pp. 2107-2132. https://doi.org/10.1108/IJOEM-01-2021-0074
Publisher
:Emerald Publishing Limited
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