ArticleFinance research letters2022
Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic.
Article in Finance research letters, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 8 papers.
What it found
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
8 citing papers in PubMed.
- Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.Finance research letters · 2023Article
- Systemic risk contagion of green and Islamic markets with conventional markets.Annals of operations research · 2023Article
- The correlations among COVID-19, the effect of public opinion, and the systemic risks of China's financial industries.Physica A · 2022Article
- NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic.Finance research letters · 2022Article
- Financial contagion intensity during the COVID-19 outbreak: A copula approach.International review of financial analysis · 2022Article
- Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic.Finance research letters · 2022Article
- Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?Journal of economic behavior & organization · 2021Article
- Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?Frontiers in public health · 2021Article
Corrections and comments
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Authors and funding
3 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
We examine volatility spillovers and their time-frequency dynamics among major global financial markets from the outbreak of COVID-19 to present. Results show that total spillovers, driven by low frequency components, peaks at the end of March 2020 and then decline, which is not consistent with the upward trend of COVID-19; Stock markets of US and UK are net spillover transmitters, while other markets are net spillover receivers. The findings suggest that markets rally in the short term, but investors need to beware of bubbles and liquidity tightening expectations, and policymakers can gradually start to resume conventional monetary policy.
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