Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

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Zhang, Yi and Zhou, Long and Liu, Zhidong and Wu, Baoxiu (2025) Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict. North American Journal of Economics and Finance, 75 (Part A). 102308. ISSN 1062-9408 (https://doi.org/10.1016/j.najef.2024.102308)

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Abstract

This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs.

  • Item type:Article
    ID code:91143
    Dates:
    Date
    Event
    1 January 2025
    Published
    5 November 2024
    Published Online
    31 October 2024
    Accepted
    Subjects:Social Sciences > Economic Theory
    Social Sciences > Finance
    Department:?? 15452 ??
    Depositing user: Pure Administrator
    Date deposited:12 Nov 2024 16:13
    Last modified:04 Dec 2024 01:31
    URI:https://strathprints.strath.ac.uk/id/eprint/91143
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