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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
