This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...

This paper examines the volatility spillovers and the time-frequency dependence between crude oil and stock sectors of US and China. We also rely on the effects of the COVID-19 pandemic on spillover effects and portfolio management. The results reveal evidence of strong positive co-movements...

This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík’s (2018) method, significant...

This study presents fresh insights into the connectedness of oil shocks and agriculture commodities spanning January 1, 2006 to October 30, 2020. We employed the methodology developed by Ready (2018), which splits the oil price into demand and supply shocks. Further, we used the connectedness...

In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong, Japan, Korea, Singapore, and Taiwan — using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse...