Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday

被引：49

作者：

Choi, Sun-Yong ^{[1
]}

机构：

[1] Gachon Univ, Dept Financial Math, Gyeoggi 13120, South Korea

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2022年 / 59卷

基金：

新加坡国家研究基金会;

关键词：

Volatility spillovers; S&P 500 index; COVID-19; pandemic; Black Monday; IMPULSE-RESPONSE ANALYSIS; ASSET RETURN; CONNECTEDNESS; COMMODITY; CONTAGION;

D O I：

10.1016/j.najef.2021.101614

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility of each sector in the S&P 500 index and implement a static and rolling-window analysis following the Diebold and Yilmaz (2012) approach. We find that the pandemic enhanced volatility spillovers, which reveals the financial contagion effects on the US stock market. Second, there were sudden, large changes in the dynamic volatility spillovers on Black Monday (March 9, 2020), much of it due to the energy sector shock. These findings have important implications for portfolio managers and policymakers.

引用

页数：16

共 48 条

[1] The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal? [J].