Our research explores how the COVID-19 pandemic has influenced asymmetric spillover effects in oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily price data, 1) we find evidence of only from market that this effect is stronger during 2) conclude negative information shock larger impact on return volatility compared positive intensified pandemic.

Although market interdependence would seem to be conceptually straightforward, being based on international fundamentals, there are no generally accepted testing strategies. This paper tests for the sensitivity of the empirical results reported in Veiga and McAleer (2004), who use the vector autoregressive moving average asymmetric generalised autoregressive conditional heteroskedasticity (VARM...

The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly...

It is well known that the volatility spillover increases when a large economic shock occurs, and then pattern in market changes. Accordingly, many papers note clarifying time-varying of transmission domestic international markets useful for investors policymakers. This paper focuses on information contagion across various industrial sectors, investigates portfolio strategies based spillovers, a...

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng (in the...

In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to reconstruct the data series, as suggested by Lee (2002). We find evidence of intra-European (Irish, UK and Portuguese) market co-movements with the US market also weak...

Formative studies have thoroughly examined causality within and between different spot and futures markets with a motivation to discover market co-movements, price leadership effects, and more recently, volatility spillovers across markets. However, the empirical framework within which this has been accomplished has neither analysed foreign spillover effects upon a spot / futures relationship n...

This paper investigates the impact of U.S and China equity markets on global during COVID-19 pandemic. Specifically, we compare contagion markets, their volatility persistence, spillover effects from to other countries in pre-pandemic during-pandemic periods. We find evidence significant stock pandemic period. Further, observe that nature index does not change there is weak for

We examine the time-frequency co-movements and return volatility spillovers between rare earths six major renewable energy stocks. employ wavelet analysis spillover index methodology from January 1, 2018 to May 15, 2020. report that COVID-19-triggered significant increase in returns volatility. The act as net recipient of both spillovers, while clean stocks are transmitters before during COVID-...