In times of crisis, stock markets experience a significant increase in returns volatility, which leads to spillovers across equity sectors. The purpose of this study is to investigate the asymmetric spillovers across ten U.S equity sectors, representing different industries. Daily prices of...

This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018)....