Register  |  Login  |  Inquiries  |  Sitemap |  
Advanced Search
Journal of Economic Integration 2024 June;39(2) :373-393.
DOI: https://doi.org/10.11130/jei.2024005
Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from Asymmetric GARCH Models

Muhammad Niaz Khan 

University of Science & Technology Bannu, Pakistan
Corresponding Author: Muhammad Niaz Khan ,Email: niazkhanbannu@gmail.com
Copyright ©2024 Journal of Economic Integration
ABSTRACT
This study investigates the market volatility and asymmetric behavior in the commodity market, foreign exchange market, cryptocurrency, and stock markets by employing asymmetric GARCH models on the daily time series returns. The data covers the period from March 8, 2017, to March 17, 2023, and is divided in to three sub-periods: the entire sample period (March 8, 2017, to March 17, 2023), the pre-COVID-19 period (March 8, 2017, to March 10, 2020), and the during the COVID-19 period (March 11, 2020, to March 17, 2023). The empirical results show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Additionally, the results indicate significant positive asymmetric behavior in the crude oil and stock markets during the pandemic. The findings further document that gold exhibits a strong resilience during the pandemic period, indicating its hedging ability during crisis periods. Moreover, the results suggest that the EGARCH model is the most appropriate model to capture the volatilities of the financial markets both before and during the pandemic. The findings of this study provide useful insights for investors and policymakers, enabling them to adopt effective strategies for investing in portfolios during crisis periods in the future.

JEL Classification
G01: Financial Crises
G15: International Financial Markets
G32: Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
E44: Financial Markets and the Macroeconomy
F15: Economic Integration
Keywords: bitcoin | commodity | exchange | stocks | COVID-19 pandemic | volatility spillover
TOOLS
PDF Links  PDF Links
Full text via DOI  Full text via DOI
Download Citation  Download Citation
  Print
Share:      
METRICS
0
Crossref
0
Scopus
2,411
View
45
Download
Editorial Office
Center for Economic Integration, Sejong University, 209, Neungdong-Ro, Gwangjin-Gu,
Seoul, 05006, Korea
TEL : +82-2-3408-3338    FAX : +82-2-6935-2492   E-mail : jei@sejong.ac.kr, editorial.office@e-jei.org
Browse Articles |  Current Issue |  For Authors and Reviewers |  About
Copyright© by Center for Economic Integration.      Developed in M2PI