Volatility Spillover Effect of Us Stock Market - Marketing Assignment Help

Assignment Task

The purpose of this study is mainly to find how the COVID-19 Pandemic has affected the stock markets. Since the US is one of the predominant Stock market that can influence all the other country’s stock market, we intend to study how the COVID-19 has impacted the US Stock Returns and its extent volatility in the stock return of the US. We also wanted to find out how this Volatility caused in the US, to what extent this Volatility in US Stock Returns spills over to the other Top 10 importing countries since a small variation in the US Stock Return would cause huge Volatility to its importing countries. We would also like to find out the casual relation concerning Volatility and estimate if the Casual relationship is one way or two way.
 

We have High frequency (minute wise) data from 01/01/2018 to 11/02/2021 for our analysis, and the sequence of tests to be performed is as mentioned below:

1. Match the Data’s of all countries date wise and to use the rolling mean imputation technique to compensate for the missing data of a particular which could be due to some holidays. (Since US time zone is one day behind compared to all other countries while matching the data, this should be considered and should be matched accordingly)

2. To Run the Stationarity Test for Data (UNIT ROOT TEST) and ensure that the Data is stationary which is a pre-requisite for a time series Analysis.

3. To Run BEKK GARCH (Generalized Autoregressive Conditional Heteroskedasticity) Model (Multivariate Model).

4. To Run Granger causality to establish a causal relationship of all the stock markets of different countries with respect to Volatility.

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