Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic
<p>In times of crisis, stock markets experience a significant increase in return 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...
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| مؤلفون آخرون: | , , , |
| منشور في: |
2024
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| الموضوعات: | |
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إضافة وسم
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| _version_ | 1864513527019995136 |
|---|---|
| author | Umar Kayani (17986576) |
| author2 | Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Farrukh Nawaz (17986582) |
| author2_role | author author author author |
| author_facet | Umar Kayani (17986576) Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Farrukh Nawaz (17986582) |
| author_role | author |
| dc.creator.none.fl_str_mv | Umar Kayani (17986576) Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Farrukh Nawaz (17986582) |
| dc.date.none.fl_str_mv | 2024-01-28T06:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.heliyon.2024.e25203 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Riding_the_waves_A_study_of_retrun_spillovers_and_inter-sector_linkages_in_US_equity_markets_during_the_COVID-19_pandemic/25242976 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics COVID-19 U.S sector indices Returns Spillovers DY methodology |
| dc.title.none.fl_str_mv | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p>In times of crisis, stock markets experience a significant increase in return 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 sector indices were collected from 02 January 2018 to 22 October 2021 for the analysis. In addition, the study applied Diebold and Yilmaz's (2012) dynamic spillover methodology, along with the static and rolling windows phenomena, to examine the daily returns spillovers across sector indices. The results indicate that 82 % of volatility forecast error variance in U.S sector indices is due to the spillover effect. Moreover, both industrials and financials exhibit the highest gross spillovers to other sectors, while they also receive the highest spillovers from other sectors. Furthermore, the oil and gas sector and utilities sector receive the highest net returns spillovers. These empirical findings provide crucial information regarding the interdependence of U.S. sector indices during the COVID-19 pandemic, which is relevant for investors and practitioners.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2024.e25203" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2024.e25203</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_377c8501a39469e68a9e68bdfdb23b84 |
| identifier_str_mv | 10.1016/j.heliyon.2024.e25203 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/25242976 |
| publishDate | 2024 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemicUmar Kayani (17986576)Ahmet Faruk Aysan (11902115)Mrestyal Khan (17986579)Maaz Khan (7843460)Farrukh Nawaz (17986582)Commerce, management, tourism and servicesBanking, finance and investmentEconomicsApplied economicsCOVID-19U.S sector indicesReturnsSpilloversDY methodology<p>In times of crisis, stock markets experience a significant increase in return 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 sector indices were collected from 02 January 2018 to 22 October 2021 for the analysis. In addition, the study applied Diebold and Yilmaz's (2012) dynamic spillover methodology, along with the static and rolling windows phenomena, to examine the daily returns spillovers across sector indices. The results indicate that 82 % of volatility forecast error variance in U.S sector indices is due to the spillover effect. Moreover, both industrials and financials exhibit the highest gross spillovers to other sectors, while they also receive the highest spillovers from other sectors. Furthermore, the oil and gas sector and utilities sector receive the highest net returns spillovers. These empirical findings provide crucial information regarding the interdependence of U.S. sector indices during the COVID-19 pandemic, which is relevant for investors and practitioners.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2024.e25203" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2024.e25203</a></p>2024-01-28T06:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.heliyon.2024.e25203https://figshare.com/articles/journal_contribution/Riding_the_waves_A_study_of_retrun_spillovers_and_inter-sector_linkages_in_US_equity_markets_during_the_COVID-19_pandemic/25242976CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/252429762024-01-28T06:00:00Z |
| spellingShingle | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic Umar Kayani (17986576) Commerce, management, tourism and services Banking, finance and investment Economics Applied economics COVID-19 U.S sector indices Returns Spillovers DY methodology |
| status_str | publishedVersion |
| title | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| title_full | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| title_fullStr | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| title_full_unstemmed | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| title_short | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| title_sort | Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic |
| topic | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics COVID-19 U.S sector indices Returns Spillovers DY methodology |