Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-11-01 DOI:10.1016/j.najef.2024.102308

Yi Zhang , Long Zhou , Zhidong Liu , Baoxiu Wu

引用次数: 0

Abstract

This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs.

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在 COVID-19 危机和俄乌冲突期间，美国和金砖国家股票市场的恐慌蔓延

本研究探讨了 COVID-19 大流行和俄乌危机期间美国和五个金砖国家股票市场之间的波动传染。我们首先使用马尔科夫切换动态回归法来内生识别市场演变的各个阶段。然后，我们采用动态条件相关过程，根据被调查市场每日变化所引起的隐含波动率来揭示时变波动溢出效应。实证结果表明，两次危机期间的市场溢出效应呈现出截然不同的情形。在 COVID-19 危机期间，美国对金砖国家市场的蔓延效应更为显著和持久。然而，在俄乌危机的初始阶段，只检测到了短暂的脉冲式市场反应，而且在所有隐含波动率对中，波动率相互依存结构并不遵循特定模式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.