Global spillover persistence and market resilience during uncertainty
Year: 2025
Type: article
Abstract: Purpose This study explores the persistence of stock market spillovers and the speed of recovery from global financial market uncertainty across different economic cycles. Design/methodology/approach We analyse daily stock data from 15 countries spanning 2002 to 2024, covering the Dot-com bubble, the 2008 Global Financial Crisis and the COVID-19 pandemic. A vector autoregression (VAR) model is employed to examine the dynamics of spillover transmission and the resilience of markets across developed, emerging and developing economies. Findings During the Dot-com recovery, global markets showed moderate interdependence, with the US, UK and Switzerland exerting the largest spillover effects. The 2008 financial crisis significantly increased interconnectedness, with Mexico and other emerging markets showing high contagion, while developed markets remained key transmitters. During COVID-19, markets became increasingly sensitive to global shocks. Notably, countries like Thailand, Japan and Brazil began to exhibit stronger spillover influence, while Russia showed quicker recovery. In the post-pandemic recovery, overall resilience improved, with faster absorption of shocks and stronger internal stability. However, the US, UK and Switzerland remained primary spillover sources throughout all periods. Practical implications Findings underscore the need to strengthen economic resilience, especially in vulnerable emerging and developing economies. Originality/value This study adds depth to the literature by offering a comparative analysis of spillover persistence and resilience across various market types under changing economic conditions. It provides evidence of evolving spillover dynamics and highlights the growing importance of emerging markets in global volatility transmission.
Authors: Irene Phan, Xiaojun Luo, Ismail Adelopo
Institution: University of the West of England
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4410906771