Narrow Results

This study explores the return and volatility spillovers between S&P 500 and cryptocurrencies [Litecoin (LTC), Bitcoin (BTC) and Ethereum (ETH)] during the pre-COVID-19 period and COVID-19 period using the VAR–BEKK–AGARCH model on hourly data. Furthermore, this study also quantifies the optimal portfolio weights and hedge ratios during both sample periods. The findings of study show that the return and volatility spillovers between the US stock and cryptocurrency markets are not significant during the pre-COVID-19 period. However, the study finds unidirectional return transmission from S&P 500 to all the cryptocurrencies during the COVID-19 period. During the COVID-19 period, the volatility spillover is unidirectional from S&P 500 to Litecoin, whereas the volatility transmissions are not significant for the pairs of S&P 500–Bitcoin and S&P 500–Ethereum. Based on optimal weights, the portfolio managers are recommended to slightly decrease their investments in S&P 500 for the portfolios of S&P 500/BTC, S&P 500/ETH and S&P 500/LTC during the COVID-19 period. Finally, during the COVID-19 period, all hedge ratios were found to be higher, implying higher hedging costs during the COVID-19 period compared to the pre-COVID-19 period. Our research offers valuable insights to the fund managers, investors and policymakers regarding diversification opportunities, hedging, optimal asset allocation and risk management.

This work investigates the dynamic volatility spillovers between China’s crude oil future market and sectoral stock markets. We demonstrate that the overall risk transmission is predominantly driven by long-term spillovers. Several major events, such as the COVID-19 pandemic and the Russia–Ukraine conflict, increase the time-varying connectedness. Moreover, we find that the role of the crude oil futures market shifts from a net receiver to a risk contributor under the impacts of these events. We also clarify the heterogeneity in the net pairwise spillovers between the crude oil future market and different sectors. Our finding on volatility spillovers is helpful for both policymakers and investors to understand the systematic risk.

In this paper, we examine the price discovery patterns in the three BRICS countries’ stock index futures markets which were launched after 2000 – China, India, and Russia. We find the futures market dominates the price discovery process in China and India, but less so in Russia. A closer examination reveals the dynamic nature of the price discovery process, and the significant impacts on futures’ price discovery functions from China’s regulatory changes in September 2015 and Russia’s economic sanctions in March 2014. The results also show a more balanced and bidirectional volatility spillover between futures and spots in China and India than in Russia.

This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers.

This examination endeavors to divulge the effects of the COVID-19 first and second waves on daily sectoral indices and volatility spillover in Indian markets. The empirical outcomes of the analysis reveal that the outbreaks of the first and second waves had a heterogeneous impact on the average value of eleven major sectoral indices. It also produces sufficient evidence of the assorted impacts of the first and second waves on volatility. The empirical outcome also confirms that the COVID-19 first wave led to greater uncertainty and intensification of volatility in the financial market as compared to the second wave. Finally, our research shows that the auto, banking, and Fast-moving consumer good (FMCG) sectors in India experienced higher volatility during the first wave of COVID-19, as these sectors contributed to the volatility in other sectors. However, consumer durables, metals, and oil and gas appear to have had the greatest impact on sectoral indices during the first wave, as they are a net recipient of volatility in the Indian financial market. On the other hand, on the basis of relevant outcomes, it can be surmised that the media, FMCG, and banking sectors demonstrated a high level of dominance on the other indices during the second wave of COVID-19 in India. However, consumer durables, pharmaceuticals, real estate, and information technology sectoral indices appeared mostly affected during the first and second waves of COVID-19, as they are net receivers of volatility in the Indian financial market.