title: Ð­ÑÑÐµÐºÑÑ Ð¿ÐµÑÐµÐ»Ð¸Ð²Ð° Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸ ÑÑÐ½ÐºÐ¾Ð² ÑÐµÐ½Ð½ÑÑ Ð±ÑÐ¼Ð°Ð³ Ð²Ð¾ Ð²ÑÐµÐ¼Ñ Ð¿Ð°Ð½Ð´ÐµÐ¼Ð¸Ð¸
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð¼Ð°Ð³Ð¸ÑÑÑÐ°
titleType: Subtitle
title: Stock market volatility spillovers during pandemic
Creators: name: ÐÑÐ¾ ÐÐ½ÑÑÐ¸
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2022
Subjects: ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐ¹ ÑÑÐ½Ð¾Ðº
Ð¿ÐµÑÐµÑÐ¾Ðº Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸
stock market
volatility spillover

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description: Looking back at history, every pandemic outbreak not only affects people's health, but also has a huge impact on society and economy. Under the general trend of financial liberalization and integration, financial markets around the world are becoming more and more closely connected, making the risk contagion between international financial markets wider, faster and deeper. The global pandemic of the COVID-19 pandemic in early 2020 caused more severe damage to the global economy than even the international financial crisis in 2008. The global blockade caused by the COVID-19 pandemic triggered the strongest economic contraction in modern history, leading to a significant volatile chain reaction in the stock markets of various countries and violent shocks in the stock markets of many countries, which caused significant losses to the economies of the world. Based on this, this paper selects daily return data of stock indices of three representative countries (China, U.S. and UK), adopts BEKK-GARCH model to study the changes of volatility spillover among stock markets of various economies before and after the outbreak of COVID-19 pandemic, the transmission mechanism of volatility spillover effect with its resulting outcomes. Before the pandemic outbreak, China and the United States had mutual fluctuation spillover effects and were negatively correlated with each other, while after the start of the pandemic, China began to have positively correlated fluctuation spillover effects on the United States. Before the pandemic outbreak, it was mainly a one-way negative correlation fluctuation spillover effect from the UK to China, and after the start of the pandemic China began to have a one-way negative correlation fluctuation spillover effect to the UK; before the pandemic outbreak, it was mainly a one-way negative correlation fluctuation spillover effect from the UK to the U.S., and after the start of the pandemic the U.S. began to have a positive correlation fluctuation spillover effect to the UK.