Spillover nexus of financial stress during black Swan events

Abstract

This research investigates the dynamic volatility spillover among the financial market stress of the US, Other Advanced Economies (OAE), and Emerging Markets (EM) during the two Black Swan events - the ongoing COVID-19 pandemic and Global Financial Crisis (GFC). We conduct the spillover analyses on short, medium, and long runs. The findings suggest that during the GFC, the US financial market received the highest spillovers from OAE in the medium run. During the COVID-19 pandemic, financial stress in the US has induced maximum spillovers to the EM market in the long run.