Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic

被引：59

作者：

Wang, Dong ^{[1
]}

Li, Ping ^{[1
,2
]}

Huang, Lixin ^{[3
]}

机构：

[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

[2] Beihang Univ, Minist Educ, Key Lab Complex Syst Anal Management & Decis, Beijing 100191, Peoples R China

[3] Univ Calif Berkeley, Sch Letters & Sci, Berkeley, CA 94720 USA

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

基金：

中国国家自然科学基金;

关键词：

COVID-19; Financial markets; Volatility spillover; Time-frequency dynamics; IMPULSE-RESPONSE ANALYSIS; CONNECTEDNESS;

D O I：

10.1016/j.frl.2021.102244

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：8

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