This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz’s connectedness index. We found that the total volatility spillover in this March reached its highest level of recent ten years, while the pandemic developed to its worst stage in this April. Results of total directional spillover show that American and British stock markets are main spillover transmitters during the pandemic, while Chinese and Japanese stock markets, as well as GBP/USD exchange rate are spillover recipients. The pairwise directional spillover between American and British stock markets is larger than other pairs. GBP/USD exchange rate and WTI crude oil futures market mainly receive spillovers from American stock market. Results show that the COVID-19 pandemic has caused huge shocks to international financial markets, especially of those countries with severe pandemics, and the pandemic led to increased spillovers between financial markets.
Volatility Spillovers between Major International Financial Markets During the COVID-19 Pandemic