Prince Kumar Maurya, Rohit Bansal, Anand Kumar Mishra
{"title":"市场波动率之间的动态关联性:COVID-19 和俄罗斯-乌克兰冲突的视角","authors":"Prince Kumar Maurya, Rohit Bansal, Anand Kumar Mishra","doi":"10.1108/sef-01-2024-0029","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.\n\n\nDesign/methodology/approach\nThe connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The period of study is from 1 January 2014 to 20 April 2023.\n\n\nFindings\nThis analysis revealed that volatility connectedness among the countries during COVID-19 and Russia–Ukraine conflict had increased significantly. Furthermore, analysis has indicated that investors had not anticipated the World Health Organization announcement of COVID-19 as a global pandemic. Contrarily, investors had anticipated the Russian invasion of Ukraine, evident in a significant rise in volatility before and after the invasion. In addition, the transmission of volatility is from developed to developing countries. Developed countries are NET volatility transmitters, whereas developing countries are NET volatility receivers. Finally, the ordinary least square regression result suggests that the volatility connectedness index is informative of stock market dynamics.\n\n\nOriginality/value\nThe connectedness approach has been widely used to estimate the dynamic connectedness among market indices, cryptocurrencies, sectoral indices, enegy commodities and metals. To the best of the authors’ knowledge, none of the previous studies have directly used the volatility indices to measure the volatility connectedness. Hence, this study is the first of its kind that has used volatility indices to measure the volatility connectedness among the countries.\n","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":"193 3","pages":""},"PeriodicalIF":4.6000,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict\",\"authors\":\"Prince Kumar Maurya, Rohit Bansal, Anand Kumar Mishra\",\"doi\":\"10.1108/sef-01-2024-0029\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\nPurpose\\nThis paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.\\n\\n\\nDesign/methodology/approach\\nThe connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The period of study is from 1 January 2014 to 20 April 2023.\\n\\n\\nFindings\\nThis analysis revealed that volatility connectedness among the countries during COVID-19 and Russia–Ukraine conflict had increased significantly. Furthermore, analysis has indicated that investors had not anticipated the World Health Organization announcement of COVID-19 as a global pandemic. Contrarily, investors had anticipated the Russian invasion of Ukraine, evident in a significant rise in volatility before and after the invasion. In addition, the transmission of volatility is from developed to developing countries. Developed countries are NET volatility transmitters, whereas developing countries are NET volatility receivers. Finally, the ordinary least square regression result suggests that the volatility connectedness index is informative of stock market dynamics.\\n\\n\\nOriginality/value\\nThe connectedness approach has been widely used to estimate the dynamic connectedness among market indices, cryptocurrencies, sectoral indices, enegy commodities and metals. To the best of the authors’ knowledge, none of the previous studies have directly used the volatility indices to measure the volatility connectedness. Hence, this study is the first of its kind that has used volatility indices to measure the volatility connectedness among the countries.\\n\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":\"193 3\",\"pages\":\"\"},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2024-04-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/sef-01-2024-0029\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/sef-01-2024-0029","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict
Purpose
This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.
Design/methodology/approach
The connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The period of study is from 1 January 2014 to 20 April 2023.
Findings
This analysis revealed that volatility connectedness among the countries during COVID-19 and Russia–Ukraine conflict had increased significantly. Furthermore, analysis has indicated that investors had not anticipated the World Health Organization announcement of COVID-19 as a global pandemic. Contrarily, investors had anticipated the Russian invasion of Ukraine, evident in a significant rise in volatility before and after the invasion. In addition, the transmission of volatility is from developed to developing countries. Developed countries are NET volatility transmitters, whereas developing countries are NET volatility receivers. Finally, the ordinary least square regression result suggests that the volatility connectedness index is informative of stock market dynamics.
Originality/value
The connectedness approach has been widely used to estimate the dynamic connectedness among market indices, cryptocurrencies, sectoral indices, enegy commodities and metals. To the best of the authors’ knowledge, none of the previous studies have directly used the volatility indices to measure the volatility connectedness. Hence, this study is the first of its kind that has used volatility indices to measure the volatility connectedness among the countries.
期刊介绍:
ACS Applied Bio Materials is an interdisciplinary journal publishing original research covering all aspects of biomaterials and biointerfaces including and beyond the traditional biosensing, biomedical and therapeutic applications.
The journal is devoted to reports of new and original experimental and theoretical research of an applied nature that integrates knowledge in the areas of materials, engineering, physics, bioscience, and chemistry into important bio applications. The journal is specifically interested in work that addresses the relationship between structure and function and assesses the stability and degradation of materials under relevant environmental and biological conditions.