Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis
Document Type
Article
Source of Publication
Pacific-Basin Finance Journal
Publication Date
6-1-2021
Abstract
In this study, we investigate the return and volatility spillovers between emerging markets and US government bonds during the Covid-19-triggered pandemic by accounting for the market sentiment captured by the media coverage index. To study the dynamic spillovers, we use a TVP-VAR approach. Our results show a significant increase in the dynamic connectedness between media coverage, emerging market bonds, and US bonds, as well as between the respective volatilities, especially during the early phases of the Covid-19 pandemic, with the highest values observed in March 2020. The emerging market bonds appear to be net transmitters to the system and lead the system; whereas, the US bond market is the net receiver. These results show that, during the pandemic, the US bond market is less vulnerable and more resilient to changes in market sentiment vis-à-vis the fixed-income markets of the developing countries.
DOI Link
ISSN
0927-538X
Publisher
Elsevier
Volume
67
Disciplines
Business
Keywords
Covid-19, TVP-VAR, Emerging market bonds, Media sentiment, US bonds, Dynamic connectedness
Scopus ID
Recommended Citation
Umar, Zaghum; Manel, Youssef; Riaz, Yasir; and Gubareva, Mariya, "Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis" (2021). All Works. 4243.
https://zuscholars.zu.ac.ae/works/4243
Indexed in Scopus
yes
Open Access
no