Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from Asymmetric GARCH Models

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Muhammad Niaz Khan
• 간행물 정보: 『Journal of Economic Integration』제39권 제2호, 373~393쪽, 전체 21쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2024.06.01

국문 초록

This study investigates the market volatility and asymmetric behavior in the commodity market, foreign exchange market, cryptocurrency, and stock markets by employing asymmetric GARCH models on the daily time series returns. The data covers the period from March 8, 2017, to March 17, 2023, and is divided in to three sub-periods: the entire sample period (March 8, 2017, to March 17, 2023), the pre-COVID-19 period (March 8, 2017, to March 10, 2020), and the during the COVID-19 period (March 11, 2020, to March 17, 2023). The empirical results show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Additionally, the results indicate significant positive asymmetric behavior in the crude oil and stock markets during the pandemic. The findings further document that gold exhibits a strong resilience during the pandemic period, indicating its hedging ability during crisis periods. Moreover, the results suggest that the EGARCH model is the most appropriate model to capture the volatilities of the financial markets both before and during the pandemic. The findings of this study provide useful insights for investors and policymakers, enabling them to adopt effective strategies for investing in portfolios during crisis periods in the future.

목차

I. Introduction

II. Literature Review

III. Data and Methodology

IV. Empirical Results

V. Conclusion

References

키워드

bitcoin commodity exchange stocks COVID-19 pandemic volatility spillover