scholarly journals Asymmetric volatility connectedness among main international stock markets: A high frequency analysis

2020 ◽  
Author(s):  
Walid Mensi ◽  
Debasish Maitra ◽  
Xuan Vinh Vo ◽  
Sang Hoon Kang
Keyword(s):  
Frequency Analysis ◽  
Stock Markets ◽  
High Frequency ◽  
Asymmetric Volatility ◽  
International Stock Markets

Good and bad high-frequency volatility spillovers among developed and emerging stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Walid Mensi ◽  
Ramzi Nekhili ◽  
Xuan Vinh Vo ◽  
Sang Hoon Kang
Keyword(s):  
Stock Markets ◽  
High Frequency ◽  
Design Methodology ◽  
Stock Exchange ◽  
Content Type ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Emerging Stock Markets ◽  
Contagion Effects ◽  
Exchange Markets

PurposeThis 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/approachThis paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility.FindingsThe 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/valueThe 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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