Time-frequency Volatility Spillovers of Conventional Stock Markets: Evidence from Developed, Emerging, and Frontier Markets
Abstract
This study examines the volatility spillovers and financial connectedness of conventional equity stock markets in developed, emerging, and frontier economies in GCC, SAARC, BRIC, and G7. Diebold and Yilmaz (DY-12) and Baruník and Krehlík (BK-18) spillover methods are used to analyze the daily data for the period 2012-2021. The findings indicate that the coronavirus pandemic significantly affected return and volatilities in conventional stock markets, surpassing any previous economic instability event, such as the 2014-2015 crude oil crisis. The findings also reveal that conventional stock markets are weakly interconnected in terms of overall return, with the US stock market being the top transmitter of returns and volatility. These findings have significant policy implications for investors, regulators, and policymakers.
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