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A pandemic's grip: volatility spillovers in Asia-Pacific equity markets during the onset of COVID-19

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dc.contributor.authorMustafa Disli
dc.contributor.authorRuslan Nagayev
dc.contributor.authorAbubakar Ilyas
dc.contributor.authorAhmet F. Aysan
dc.contributor.authorKinan Salim
dc.date.accessioned2024-05-24T06:37:44Z
dc.date.available2024-05-24T06:37:44Z
dc.date.issued2024
dc.description.abstractThe emergence of COVID-19 in late 2019 rapidly shattered the Asia-Pacific region (APR), a bastion of economic dynamism, and it became the epicenter of the global health crisis. This unprecedented pandemic not only triggered a public health catastrophe but also unleashed a financial storm, exposing vulnerability within the region's interconnected economies. This study identifies the factors driving volatility spillovers within Asian-Pacific financial markets during the initial wave of the COVID-19 pandemic (January 2020-February 2021). We analyze the interplay of pandemic transmission dynamics, government interventions, central bank policies, and socioeconomic variables. Our findings reveal a robust and persistent association between the rising number of COVID-19 cases per million and volatility spillovers. We introduce three novel determinants - the number of intensive care unit beds, population density, and the proportion of the elderly population - which significantly impact volatility transmission in response to new cases. Stringent government measures, such as travel bans and lockdowns, mitigate volatility spillovers. Conversely, central bank policies increase volatility spillovers. These insights contribute to a deeper understanding of financial market dynamics in the context of global health emergencies. This knowledge equips policy makers in the APR with valuable tools for navigating future crises.en_US
dc.identifier.citationSalim, K., Disli, M., Nagayev, R., Ilyas, A., & Aysan, A. F. (2024). A pandemic's grip: Volatility spillovers in Asia-Pacific equity markets during the onset of COVID-19. Borsa Istanbul Review, 24(5), 898-907. https://doi.org/10.1016/j.bir.2024.05.001en_US
dc.identifier.doihttps://doi.org/10.1016/j.bir.2024.05.001
dc.identifier.issn2214-8469
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/4059
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.Ven_US
dc.sourceSEDONA
dc.subjectAsia-Pacificen_US
dc.subjectCOVID-19en_US
dc.subjectFinancial marketsen_US
dc.subjectGovernment policyen_US
dc.subjectHealth careen_US
dc.subjectVolatility spilloversen_US
dc.titleA pandemic's grip: volatility spillovers in Asia-Pacific equity markets during the onset of COVID-19en_US
dc.typeJournal Articleen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.licenseThis item is not available in this repository
ikr.topic.maintopicCOVID-19en_US
relation.isAuthorOfPublication10a8c75a-02bf-4122-a23c-40d4ef3b59b3
relation.isAuthorOfPublication.latestForDiscovery10a8c75a-02bf-4122-a23c-40d4ef3b59b3
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