Due to the increasing linkage of China and US stock markets today, we constructed a TVP-VAR model study dynamic spillover effects between volatility China’s market crash risk. We found are constantly strengthening risk: when increases, risk increases. In addition, gradual improvement financial openness in China, short-term capital outflow from depreciation RMB exchange rate will increase And, i...

volatility transmission means the connection between different markets in a way that volatility can be transmitted from one market to another. the volatility of oil price in global markets is one of the factors which influence the capital markets of the countries of which their economy is based on oil revenues. most of these markets have long-run memory characteristic which should be considered...

This study uses daily COVID-19 news series to determine their impact on financial market volatility. paper assesses whether U.S. markets react differently than emerging and if such are impacted by country-specific global news. To detect the spillover effects from volatility, a time-varying DCC-GARCH model was applied. The results suggest that affected pandemic news, have stronger ones, misleadi...

This study focuses on the relation between fluctuation of international oil prices and China’s energy stock market during COVID-19 pandemic, using a dynamic conditional correlation generalized autoregressive heteroskedasticity model. We confirm spillover effect volatility price returns determine that leadership has been heavily influenced pandemic.