Farid, Saqib, Mujtaba, Ghulam ORCID: https://orcid.org/0000-0002-7317-4357, Abubakr Naeem, Muhammad ORCID: https://orcid.org/0000-0001-6962-3175 and Jawad Hussain Shahzad, Syed (2021) Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic. Resources Policy, 72 (102101).

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Abstract

In this study, we present the evidence of dramatic changes in the structure and time-varying patterns of volatility connectedness across equities and major commodities (oil, gold, silver and natural gas) in the US economy before and during the COVID-19 outbreak. We utilize high frequency 5-min trading data of most actively traded US ETFs to construct the volatility connectedness network. We compute the intraday volatility estimates using MCS-GARCH model and then employ Diebold and Yilmaz (2012) spillover index approach to approximate volatility spillovers between the financial markets. Our main findings showcase significant impact of COVID-19 pandemic on the volatility linkages of financial markets as the volatility connectedness among the different assets peaked during the outbreak. Other findings and implications of the study are further discussed.

Item Type:	Article
Status:	Published
DOI:	doi10.1016/j.resourpol.2021.102101
School/Department:	London Campus
URI:	https://ray.yorksj.ac.uk/id/eprint/10039

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