Global spillover persistence and market resilience during uncertainty

Adelopo, Ismail; Luo, Xiaojun; Phan, Irene

Abstract

Purpose
This study explores the persistence of stock market spillovers and the speed of recovery from global financial market uncertainty across different economic cycles.
Design
We analyse daily stock data from 15 countries spanning 2002 to 2024, covering the Dot-com bubble, 2008 Global Financial Crisis, and COVID-19 pandemic. A vector autoregression (VAR) model is employed to examine the dynamics of spillover transmission and the resilience of markets across developed, emerging, and developing economies.
Findings
During the Dot-com recovery, global markets showed moderate interdependence, with the US, UK, and Switzerland exerting the largest spillover effects. The 2008 financial crisis significantly increased interconnectedness, with Mexico and other emerging markets showing high contagion, while developed markets remained key transmitters. During COVID-19, markets became increasingly sensitive to global shocks. Notably, countries like Thailand, Japan, and Brazil began to exhibit stronger spillover influence, while Russia showed quicker recovery. In the post-pandemic recovery, overall resilience improved, with faster absorption of shocks and stronger internal stability. However, the US, UK, and Switzerland remained primary spillover sources throughout all periods.
Originality and contribution
This study adds depth to the literature by offering a comparative analysis of spillover persistence and resilience across various market types under changing economic conditions. It provides evidence of evolving spillover dynamics and highlights the growing importance of emerging markets in global volatility transmission.
Practical Implications
Findings underscore the need to strengthen economic resilience, especially in vulnerable emerging and developing economies.

• Journal Article Type: Article
• Acceptance Date: May 6, 2025
• Online Publication Date: Jun 2, 2025
• Deposit Date: May 29, 2025
• Publicly Available Date: Jun 6, 2025
• Journal: Journal of Capital Market Studies
• Electronic ISSN: 2514-4774
• Publisher: Emerald
• Peer Reviewed: Peer Reviewed
• DOI: https://doi.org/10.1108/JCMS-03-2025-0031
• Keywords: Global markets; Spillovers; Financial crises; VAR model; Market resilience; Emerging economies
• Public URL: https://uwe-repository.worktribe.com/output/14474469