2023
DOI: 10.1007/s00181-023-02422-w
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The impact of pandemic on dynamic volatility spillover network of international stock markets

Abstract: Since the beginning of the twenty-first century, several pandemics, including SARS and COVID-19, have spread faster and on a broader scale. Not only do they harm people’s health, but they can also cause significant damage to the global economy within a short period of time. This study uses the infectious disease EMV tracker index to investigate the impact of pandemics on the volatility spillover effects of global stock markets. Spillover index model estimation is conducted using the time-varying parameter vect… Show more

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Cited by 3 publications
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“…Specifically, the market and regulatory environment for NFTs in these countries have evolved quite differently than in many other countries. Further, they have always been considered a biggest net transmitters of volatility connectedness or spillovers during the crisis period (Lan et al, 2023).…”
mentioning
confidence: 99%
“…Specifically, the market and regulatory environment for NFTs in these countries have evolved quite differently than in many other countries. Further, they have always been considered a biggest net transmitters of volatility connectedness or spillovers during the crisis period (Lan et al, 2023).…”
mentioning
confidence: 99%