{"title":"Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak","authors":"Fei Su, Feifan Wang, Yahua Xu","doi":"10.1007/s10690-024-09452-z","DOIUrl":null,"url":null,"abstract":"<p>Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets interact with respect to volatility spillover, with a special focus on types of investment horizons, and how the connectedness structure evolves during the COVID-19 outbreak. Empirical results suggest that there is strong evidence of volatility spillovers among global stock markets, and the COVID-19 pandemic further strengthens such volatility spillovers. However, the structure of the frequency connectedness changes gradually when compared to the full sample period. We further investigate if economic policy uncertainty (EPU) affects volatility spillovers among global stock markets. The results suggest that EPU significantly affects the connectedness among global stock markets, particularly during the COVID-19 pandemic period. Overall, the findings suggest that volatility spillovers across international stock markets vary with time horizons and market conditions, which contributes to the academic literature on modelling global volatility spillovers. Practically, the findings of the study contribute to investors and policymakers in adjusting trading strategies and monitoring market risks.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"238 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09452-z","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets interact with respect to volatility spillover, with a special focus on types of investment horizons, and how the connectedness structure evolves during the COVID-19 outbreak. Empirical results suggest that there is strong evidence of volatility spillovers among global stock markets, and the COVID-19 pandemic further strengthens such volatility spillovers. However, the structure of the frequency connectedness changes gradually when compared to the full sample period. We further investigate if economic policy uncertainty (EPU) affects volatility spillovers among global stock markets. The results suggest that EPU significantly affects the connectedness among global stock markets, particularly during the COVID-19 pandemic period. Overall, the findings suggest that volatility spillovers across international stock markets vary with time horizons and market conditions, which contributes to the academic literature on modelling global volatility spillovers. Practically, the findings of the study contribute to investors and policymakers in adjusting trading strategies and monitoring market risks.
期刊介绍:
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets