A revised approach to testing for asymmetric intermarket spillover effects
This paper applies a modified DCC framework to test for asymmetric intermarket spillover effects from the US to a sample of G7 stock markets following the outbreak of the COVID-19 pandemic. The adjustment proposed in this research article addresses the shortcomings associated with the methodologies...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2440440 |
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| _version_ | 1846117453112803328 |
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| author | Najib Shrydeh Mohammed Shahateet Suleiman Mohammad Mohammad Sumadi |
| author_facet | Najib Shrydeh Mohammed Shahateet Suleiman Mohammad Mohammad Sumadi |
| author_sort | Najib Shrydeh |
| collection | DOAJ |
| description | This paper applies a modified DCC framework to test for asymmetric intermarket spillover effects from the US to a sample of G7 stock markets following the outbreak of the COVID-19 pandemic. The adjustment proposed in this research article addresses the shortcomings associated with the methodologies developed by, inter alia, Forbes and Rigobon (2002). The results demonstrate that spillover is less likely to propagate across highly developed and firmly integrated financial markets. |
| format | Article |
| id | doaj-art-eecf90622a924df8af6a359ce7eb054f |
| institution | Kabale University |
| issn | 2332-2039 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-eecf90622a924df8af6a359ce7eb054f2024-12-18T10:38:25ZengTaylor & Francis GroupCogent Economics & Finance2332-20392025-12-0113110.1080/23322039.2024.2440440A revised approach to testing for asymmetric intermarket spillover effectsNajib Shrydeh0Mohammed Shahateet1Suleiman Mohammad2Mohammad Sumadi3Princess Sumaya University for Technology, Amman, JordanPrincess Sumaya University for Technology, Amman, JordanPrincess Sumaya University for Technology, Amman, JordanPrincess Sumaya University for Technology, Amman, JordanThis paper applies a modified DCC framework to test for asymmetric intermarket spillover effects from the US to a sample of G7 stock markets following the outbreak of the COVID-19 pandemic. The adjustment proposed in this research article addresses the shortcomings associated with the methodologies developed by, inter alia, Forbes and Rigobon (2002). The results demonstrate that spillover is less likely to propagate across highly developed and firmly integrated financial markets.https://www.tandfonline.com/doi/10.1080/23322039.2024.2440440DCCVARasymmetric volatility spilloversheteroskedasticyshock transmission mechanisminterdependence |
| spellingShingle | Najib Shrydeh Mohammed Shahateet Suleiman Mohammad Mohammad Sumadi A revised approach to testing for asymmetric intermarket spillover effects Cogent Economics & Finance DCC VAR asymmetric volatility spillovers heteroskedasticy shock transmission mechanism interdependence |
| title | A revised approach to testing for asymmetric intermarket spillover effects |
| title_full | A revised approach to testing for asymmetric intermarket spillover effects |
| title_fullStr | A revised approach to testing for asymmetric intermarket spillover effects |
| title_full_unstemmed | A revised approach to testing for asymmetric intermarket spillover effects |
| title_short | A revised approach to testing for asymmetric intermarket spillover effects |
| title_sort | revised approach to testing for asymmetric intermarket spillover effects |
| topic | DCC VAR asymmetric volatility spillovers heteroskedasticy shock transmission mechanism interdependence |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2024.2440440 |
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