Abstract
Using BK's frequency connectivity method, this paper studies the static and dynamic volatility spillovers between regional financial markets at different frequencies from 2006 to 2022, and during the Global Financial Crisis, the European Debt Crisis and the COVID-19. Our findings indicate that (1) Transnational financial stress is strongly correlated at different frequencies and volatility spillover effects are mainly driven by long-term factors and have significant time-varying characteristics with significant fluctuations during crisis events. (2) The spillover level of financial stress in the short run is similar to some extent, while the spillover level in the long run shows obvious differences.
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