post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that … there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable … volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the …

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …