, especially in extreme market scenarios. Dynamically, CCRR proxies act as net contributors and/or net receipts of shock spillovers …

, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 …) For China, high CPU decreases current stock market return and increases volatility but decreases it in the future. It … volatility in short term, decreases volatility in 5 months and increases it again after 6 months. Both low and high CPU could …

Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine … this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time … of COVID-induced sentiment on the spillovers by employing investors’ psychological and behavioural factors. We find that …