Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict
Prince Kumar Maurya,
Rohit Bansal,
Anand Kumar Mishra
Abstract:Purpose
This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.
Design/methodology/approach
The connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The period of study is from 1 January 2014 to 20 April 2023.
Findings
This analysis revealed that volatility connectedness among the countries during COVID-19 and Russia–Ukraine conflict had increased significantly. Fu… Show more
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