Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic
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 i...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2024-02-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024012349 |
| _version_ | 1797267825635622912 |
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| author | Umar Kayani Ahmet Faruk Aysan Mrestyal Khan Maaz Khan Farrukh Nawaz |
| author_facet | Umar Kayani Ahmet Faruk Aysan Mrestyal Khan Maaz Khan Farrukh Nawaz |
| author_sort | Umar Kayani |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T03:12:57Z |
| format | Article |
| id | doaj.art-a6a3f6b99e464a829d37fee23cd6c43c |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-04-25T01:22:44Z |
| publishDate | 2024-02-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-a6a3f6b99e464a829d37fee23cd6c43c2024-03-09T09:25:15ZengElsevierHeliyon2405-84402024-02-01104e25203Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemicUmar Kayani0Ahmet Faruk Aysan1Mrestyal Khan2Maaz Khan3Farrukh Nawaz4College of Business, Al Ain University, Abu Dhabi, United Arab EmiratesCollege of Islamic Studies, Qatar Foundation, Hamad Bin Khalifa University, Qatar; Corresponding author.Department of Management Sciences, Balochistan University of Information Technology, Engineering, & Management Sciences (BUITEMS), Quetta, PakistanDepartment of Management Sciences, COMSATS University Islamabad, Islamabad, PakistanFaculty of Business Studies, Arab Open University (AOU), Riyadh, Kingdom of Saudi ArabiaIn 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.http://www.sciencedirect.com/science/article/pii/S2405844024012349Code: G10G15C22C52C58 |
| spellingShingle | Umar Kayani Ahmet Faruk Aysan Mrestyal Khan Maaz Khan Farrukh Nawaz Riding the waves: A study of retrun spillovers and inter-sector linkages in US equity markets during the COVID-19 pandemic Heliyon Code: G10 G15 C22 C52 C58 |
| 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 | Code: G10 G15 C22 C52 C58 |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024012349 |
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