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Impact Of Covid-19 On Volatility Spillovers Across International Markets: Evidence From Var Asymmetric Bekk Garch Model

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  • NADIA ARFAOUI

    (ESCT - Business School of Tunis, University of Manouba, Manouba, Tunisia)

  • IMRAN YOUSAF

    (Department of Business Studies, Namal University Mianwali, Pakistan)

Abstract

This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers.

Suggested Citation

  • Nadia Arfaoui & Imran Yousaf, 2022. "Impact Of Covid-19 On Volatility Spillovers Across International Markets: Evidence From Var Asymmetric Bekk Garch Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-25, March.
    • Handle: RePEc:wsi:afexxx:v:17:y:2022:i:01:n:s201049522250004x
    DOI: 10.1142/S201049522250004X
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    Cited by:

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    5. Muhammad Irfan & Mubeen Abdur Rehman & Sarah Nawazish & Yu Hao, 2023. "Performance Analysis of Gold- and Fiat-Backed Cryptocurrencies: Risk-Based Choice for a Portfolio," JRFM, MDPI, vol. 16(2), pages 1-15, February.
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    7. Wang, Feipeng & Wong, Wing-Keung & Wang, Zheng & Albasher, Gadah & Alsultan, Nouf & Fatemah, Ambreen, 2023. "Emerging pathways to sustainable economic development: An interdisciplinary exploration of resource efficiency, technological innovation, and ecosystem resilience in resource-rich regions," Resources Policy, Elsevier, vol. 85(PA).
    8. Wisam Abed Shukur & Zaid M. Jawad Kubba & Saif Saad Ahmed, 2023. "Novel Standard Polynomial as New Mathematical Basis for Digital Information Encryption Process," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 72-85, September.
    9. Zhang, Mingming & Wong, Wing-Keung & Kim Oanh, Thai Thi & Muda, Iskandar & Islam, Saiful & Hishan, Sanil S. & Abduvaxitovna, Shamansurova Zilola, 2023. "Regulating environmental pollution through natural resources and technology innovation: Revisiting the environment Kuznet curve in China through quantile-based ARDL estimations," Resources Policy, Elsevier, vol. 85(PA).
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    11. Wei, Xuecheng & Hu, Weihua, 2023. "Revisiting resources curse hypothesis in China: Exploring the asymmetric effect of green investment and green innovation," Resources Policy, Elsevier, vol. 85(PB).
    12. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    13. Dong, Yangzi & Wong, Wing-Keung & Muda, Iskandar & Cong, Phan The & Duong Hoang, Anh & Ghardallou, Wafa & Ha, Ngo Ngan, 2023. "Do natural resources utilization and economic development reduce greenhouse gas emissions through consuming renewable and Clean Technology? A case study of China towards sustainable development goals," Resources Policy, Elsevier, vol. 85(PB).

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