The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance...

This paper examines the presence of spillover and time varying correlation between returns of Islamic stock markets in the Gulf region. Our sample comprises of six Gulf equity market returns i.e. Oman, UAE, KSA, Bahrain, Qatar and Kuwait ranging from June 2005 to January 2022. We use Diebold and...