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

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  • Wang, Dong
  • Li, Ping
  • Huang, Lixin

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.

Suggested Citation

  • Wang, Dong & Li, Ping & Huang, Lixin, 2022. "Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003007
    DOI: 10.1016/j.frl.2021.102244
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    References listed on IDEAS

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