Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday
- Authors
- Choi, Sun-Yong
- Issue Date
- Jan-2022
- Publisher
- ELSEVIER SCIENCE INC
- Keywords
- Black Monday; COVID-19 pandemic; S& P 500 index; Volatility spillovers
- Citation
- North American Journal of Economics and Finance, v.59
- Journal Title
- North American Journal of Economics and Finance
- Volume
- 59
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/83364
- DOI
- 10.1016/j.najef.2021.101614
- ISSN
- 1062-9408
- 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. © 2021 The Author
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