information transmitters across stock markets, (ii) the United States is an overwhelming volatility transmitter as a net source of … shocks during the global financial crisis, and subsequent volatility spillovers spread the crisis shock to each other in the … region, (iii) comparing the results between the pre- and post-GFC periods, Canada was a net volatility transmitter before the …

linkages in physical world. We employ a Dynamic OLS estimation proposed by Stock and Watson (1994) to estimate long run … cointegrated residual derived from Dynamic OLS estimation. While differencing cointegrated residual with fractionally integrated … of VECM equation. Furthermore, we apply a DCC-MGARCH model to analyze ARCH effect, GARCH effect, and volatility …

indicate that the June 2017 crisis lowered stock market returns and generally led to greater volatility spillovers within the …