The effect of Covid-19 on return and volatility spillovers among developed and developing stock markets
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Date
2023
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İstanbul Bilgi Üniversitesi
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info:eu-repo/semantics/openAccess
Abstract
Bu çalişma ABD, İngiltere, Almanya ve Kanada gibi gelismis ülkeler ile Brezilya, Meksika, Türkiye ve Hindistan gibi gelişmekte olan ülkelerden COVID-19'un hisse senedi piyasalarının getiri ve oynaklık yayılımları üzerindeki etkisini incelemeyi amaçlamaktadır. Söz konusu etki, Stokastik Oynaklık Modeli (SV) ile günlük endekslerin logaritmik getirilerini kullanan Vektör Otoregresif (VAR) modellerinden varyans ayrıştırmasına odaklanan Diebold ve Yılmaz Modeli (2009) ile birleştirilerek getiri ve oynaklık yayılma etkileri hesaplanarak tahmin edilmektedir. Bu yaklaşim getiri ve oynaklık yayılma etkileri hesaplanarak tahmin edilmektedir. Bu yaklaşim, tek bir yayılma metriğini belirlemede değerlidir ve 3/1/18'den 23/12/21'e giden tüm örneklem için, COVID-19 öncesi 3/1/18'den 10'1 giden dönem için uygulanacaktır, 10/3/20 ve COVID-19 sırasında 11/3/20'den 23/12/21'e giden dönem için. Bulgular, önceki araştırmalarını hisse senedi piyasalarının gelişmesinin krizler sırasında getiri yayılmalarını arttırgığı ve bunun sonucunda ülkeler arasında portföy çeşitlendirmesinden elde edilen faydalarda azalma anlamına geldiği fikrini desteklemektedir. Tersine, bulgular pandemic sırasında gelişmis ülkeler için getiri ve oynaklik yayılımının, gelişmekte olan ülkeler için oynaklık yayılımının da azaldığını gösteriyor.
This paper aims to examine the effect of the COVID-19 pandemic on return and volatility spillovers on stock markets among developed countries taking US, the UK, Germany and Canada, and developing countries taking Brazil, Mexico, Turkey and India. The mentioned effect is estimated by calculating the return and volatility spillovers combining the Stochastic Volatility Model (SV) with the Diebold and Yilmaz Model (2009) which focuses on the variance decomposition from the Vector Autoregressive (VAR) models using the daily indices' logarithmic returns. This paper covers the period from January of 2018 to December of 2021 and is divided into two sub- periods: before COVID-19 from Jan 3rd 2018 to March 10th 2020, and during COVID-19 from March 11th 2020 to Dec 23rd 2021. The findings support the idea of previous researches that stock markets from developing countries present an increase on return spillover during COVID-19 for developing countries, and as a consequence, it implies a decrease in the benefits obtained from portfolio diversification. Conversely, the findings also suggest that return and volatility spillover for developed countries decreases during the pandemic, as well as the volatility spillover for developing countries.
This paper aims to examine the effect of the COVID-19 pandemic on return and volatility spillovers on stock markets among developed countries taking US, the UK, Germany and Canada, and developing countries taking Brazil, Mexico, Turkey and India. The mentioned effect is estimated by calculating the return and volatility spillovers combining the Stochastic Volatility Model (SV) with the Diebold and Yilmaz Model (2009) which focuses on the variance decomposition from the Vector Autoregressive (VAR) models using the daily indices' logarithmic returns. This paper covers the period from January of 2018 to December of 2021 and is divided into two sub- periods: before COVID-19 from Jan 3rd 2018 to March 10th 2020, and during COVID-19 from March 11th 2020 to Dec 23rd 2021. The findings support the idea of previous researches that stock markets from developing countries present an increase on return spillover during COVID-19 for developing countries, and as a consequence, it implies a decrease in the benefits obtained from portfolio diversification. Conversely, the findings also suggest that return and volatility spillover for developed countries decreases during the pandemic, as well as the volatility spillover for developing countries.
Description
Lisansüstü Programlar Enstitüsü, Finansal İktisat Bilim Dalı
Keywords
Maliye, Finance
