This paper explores the impact of the COVID-19 pandemic on the connectedness of stock indexes in the group of developed and emerging economies known as the ASEAN+3. We derived our empirical findings from the Diebold and Yilmaz (DY12) and Baruník and Křehlík (BK18) spillover methods, using daily data from 10 May 2005 to 24 February 2021. We show that the COVID-19 pandemic has had a bigger impact on the return and volatilities of ASEAN+3 stock markets than previous economic turmoil, such as the 2008 global financial crisis and the 2009–2012 European debt crisis. Using a frequency domain methodology, we find evidence that return spillovers mostly occur in the short-term, while volatility connectedness is more pronounced in the long-term. The Singapore stock market primarily acts the as top transmitter in returns and volatilities, whereas Vietnam has become the top receiver of shocks in returns. We also demonstrate that it is possible to replicate the frequency-domain connectedness measures of BK18 with a DY12 methodology. Using a series decomposed with a wavelet-based approach, we find that the total spillover indices for short-, medium-, and long-term frequencies computed with the DY12 approach are comparable to the within connectedness indices of BK18. Our results have important policy implications for investors, regulators, and policy makers.
This study adopted a bibliometric analysis that aims to examine the current dynamics of nowcasting implementation in macroeconomics. All data are obtained from the Scopus database. Based on the keywords used, which are related to the nowcasting and macroeconomic words searching, where the terms appear in the title, keywords, or abstract, the study managed to obtain 231 documents for further analysis. We mapped the recent application of nowcasting in macroeconomics by analyzing the subsequent trends, publications status based on source title, country and institution, and used VOSviewer to examine the publication's citations pattern. We found that nowcasting has caught more and more attention for government institutions. Early studies have been done for developed countries for forecasting macroeconomic variables, and this trend is now expanding to developing countries. We conclude that the potential for nowcasting in improving the current macroeconomic situation for a country is high. The findings of this study will motivate researchers to evaluate the scientific area of nowcasting. With the government and institutional interest in this issue, researchers and practitioners should thoroughly analyze and pay attention to this research domain. The advanced financial techniques implemented in the nowcasting are expected to help manage considerable uncertainty in both the current and future international macroeconomic environments.
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