COVID-19 爆发期间经济政策的不确定性与国际股市指数的波动溢出效应

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2024-04-12 DOI:10.1007/s10690-024-09452-z
Fei Su, Feifan Wang, Yahua Xu
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引用次数: 0

摘要

我们以 2015 年 1 月至 2022 年 6 月期间的 16 个国际股票市场指数为样本,研究了全球股票市场在波动溢出方面是如何相互作用的,特别关注投资期限的类型,以及在 COVID-19 爆发期间关联性结构是如何演变的。实证结果表明,有强有力的证据表明全球股市之间存在波动溢出效应,而 COVID-19 疫情进一步加强了这种波动溢出效应。然而,与完整样本期相比,频率关联性的结构逐渐发生了变化。我们进一步研究了经济政策不确定性(EPU)是否会影响全球股市的波动溢出效应。结果表明,经济政策不确定性极大地影响了全球股市之间的关联性,尤其是在 COVID-19 大流行期间。总之,研究结果表明,国际股票市场间的波动溢出效应随时间跨度和市场条件的变化而变化,这为建立全球波动溢出效应模型的学术文献做出了贡献。实际上,研究结果有助于投资者和政策制定者调整交易策略和监控市场风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak

Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets interact with respect to volatility spillover, with a special focus on types of investment horizons, and how the connectedness structure evolves during the COVID-19 outbreak. Empirical results suggest that there is strong evidence of volatility spillovers among global stock markets, and the COVID-19 pandemic further strengthens such volatility spillovers. However, the structure of the frequency connectedness changes gradually when compared to the full sample period. We further investigate if economic policy uncertainty (EPU) affects volatility spillovers among global stock markets. The results suggest that EPU significantly affects the connectedness among global stock markets, particularly during the COVID-19 pandemic period. Overall, the findings suggest that volatility spillovers across international stock markets vary with time horizons and market conditions, which contributes to the academic literature on modelling global volatility spillovers. Practically, the findings of the study contribute to investors and policymakers in adjusting trading strategies and monitoring market risks.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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