Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia–Ukraine war periods

Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia–Ukraine war periods

Abstract The objective of this paper is to explore the interconnectedness of volatility among the stock markets of U.S., China, India, and Pakistan in conjunction with oil and gold markets. Employing the novel Time-Varying Parameter Vector Autoregression (TVP-VAR) model for assessing connectedness,...

Full description

Bibliographic Details
Main Author: Muhammad Niaz Khan
Format: Article
Language:English
Published: SpringerOpen 2024-02-01
Series:Future Business Journal
Subjects:
Volatility connectedness
COVID-19
Russia–Ukraine war
South Asia
China
U.S., Gold
Online Access:https://doi.org/10.1186/s43093-024-00314-8

Internet

https://doi.org/10.1186/s43093-024-00314-8

Similar Items