Work

Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday

Year: 2021

Type: article

Abstract: We examine the volatility spillovers among various industries during the COVID-19 pandemic period. We measure volatility spillovers by defining the volatility of each sector in the S&P 500 index and implement a static and rolling-window analysis following the Diebold and Yilmaz (2012) approach. We find that the pandemic enhanced volatility spillovers, which reveals the financial contagion effects on the US stock market. Second, there were sudden, large changes in the dynamic volatility spillovers on Black Monday (March 9, 2020), much of it due to the energy sector shock. These findings have important implications for portfolio managers and policymakers.

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2021.101614

Author: Sun-Yong Choi

Institution: Gachon University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,050

Funders: National Research Foundation, National Research Foundation of Korea, Ministry of Science and ICT, South Korea