RETURN AND VOLATILITY SPILLOVER ACROSS STOCK MARKETS OF THE US AND ITS MAJOR TRADING PARTNERS

Abstract

ABSTRACT This Study Applies The Diebold And Yilmaz (2012) Spillover Index Methodology To Analyze The Effects Of Return And Volatility Spillovers Between The Us Market And Its Major Trading Partners Using Weekly Stock Market Returns From January 2011 To December 2019. The Findings Provide Credence To The Hypothesis That The Us Market Has Been The Most Influential In Terms Of Return Spillover (259.5) To Other Stock Indexes, With The Biggest Return Spillovers Occurring In The Canadian Market (58.4) And The German Market (57.0). In A Similar Manner, The Us Market Has Been The Biggest Transmitter Of Volatility Spillover (202.3) To Other Stock Indexes, With The Highest Volatility Spillovers Occurring In The Canadian Market (51.8) And The German Market (45.8). The Us Market Has Been The Most Influential Based On Return And Volatility Spillovers. This Finding Also Suggests That The Us And Chinese Markets Are The Least Vulnerable To Foreign Shocks. In Contrast, The Canadian Market Is The Most Vulnerable To External In Terms Of Return Spillover And Volatility Spillover. As A Consequence, Chinese Stock Market Participants Can Still Reap The Rewards Of Diversity. During The Sample Period, However, Integration Across Developed Stock Markets Has Increased, Reducing The Benefits Of Diversity. Keywords Return and Volatility Spillovers, Diebold and Yilmaz (2012) Spillover Index, Rolling Window Analysis