scholarly journals The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region

2022 ◽  
Vol 10 (1) ◽  
pp. 6
Author(s):  
Nassar S. Al-Nassar ◽  
Beljid Makram
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Practical Implication ◽  
Mena Region ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Stock Portfolio ◽  
Different Characteristics ◽  
Portfolio Design

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

scholarly journals Volatility spillovers among oil and stock markets in the US and Saudi Arabia

2018 ◽  
Vol 51 (4) ◽  
pp. 329-345 ◽  
Author(s):  
Marinela Adriana Finta ◽  
Bart Frijns ◽  
Alireza Tourani-Rad
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Volatility Spillovers ◽  
The Us

scholarly journals Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies

2020 ◽  
Vol V (I) ◽  
pp. 399-409
Author(s):  
Muzammil Hussain ◽  
Rehmat Ullah Awan ◽  
Hammad Hassan
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Causality Test ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Developed Markets ◽  
The Us ◽  
The Impact

The study examines the volatility spillover between selected emerging Asian and developed stock markets. Moreover, the study analyzes the impact of the financial crisis on volatility spillover between the stock markets. This study used monthly observations for the period 2001-01 to 2017-12 on three emerging markets of Pakistan, China, India and three developed markets of Hong Kong, Japan and the US. First, the asymmetric volatility transmission between the stocks is analyzed by extended EGARCH representation. The study found the existence of asymmetric volatility spillovers throughout the financial crisis. The researcher estimated the VECM granger causality test in the next step. The outcomes revealed existence of bidirectional spillover between Pakistan and India, the US to Japan and Hong Kong. Unidirectional relationship was found from Pakistan and the US to Hong Kong, India to the US and Hong Kong to China. Overall, the results suggest a significant relationship between emerging and developed markets due to integration.

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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