Wang Dong, Li Ping, Huang Lixin
School of Economics and Management, Beihang University, Beijing 100191, China.
Key Laboratory of Complex System Analysis, Management and Decision (Beihang University), Ministry of Education, Beijing 100191, China.
Financ Res Lett. 2022 May;46:102244. doi: 10.1016/j.frl.2021.102244. Epub 2021 Jun 15.
We examine volatility spillovers and their time-frequency dynamics among major global financial markets from the outbreak of COVID-19 to present. Results show that total spillovers, driven by low frequency components, peaks at the end of March 2020 and then decline, which is not consistent with the upward trend of COVID-19; Stock markets of US and UK are net spillover transmitters, while other markets are net spillover receivers. The findings suggest that markets rally in the short term, but investors need to beware of bubbles and liquidity tightening expectations, and policymakers can gradually start to resume conventional monetary policy.
我们研究了从新冠疫情爆发至今，全球主要金融市场之间的波动溢出效应及其时频动态。结果表明，由低频成分驱动的总溢出效应在2020年3月底达到峰值，随后下降，这与新冠疫情的上升趋势不一致；美国和英国股市是净溢出效应的传递者，而其他市场是净溢出效应的接受者。研究结果表明，市场短期内会反弹，但投资者需要警惕泡沫和流动性收紧预期，政策制定者可以逐步开始恢复常规货币政策。
