ABSTRACT
This research studies the return and volatility spillover effects of the Covid-19 between the US and four chosen Asian stock markets using the dynamic conditional correlation GARCH method. The findings show that there were no return spillover effects during the pandemic. The mean equation's parameters are not critical. During and before the pandemic, the correlations are unlikely to differ significantly. The presence of D coefficients in the variance equation, which is quite substantial during pandemic periods, results in volatile correlation coefficients. As a result, stock market returns had no long-term spillover effect, but there was a significant increase in market volatility during the Covid-19 pandemic.
Keywords
Return and Volatility Spillover Effects, DCC GARCH, COVID-19