Investigating the Behavioral Pattern of Stock Market Index and Covid-19 Crisis: Case Study G20 Stock Market Indices

This research focuses on investigating the behavioral patterns of stock market indices during the Covid-19 period, with the time period under assessment ranging from January 2015 to September 2022. The principal aim and objective of the research is to assess the volatility spillover of various stock market indices, with further derivations of both net transmitters and receivers of the volatility spillovers in the financial market. The principal econometric method used is the Diebold and Yilmaz approach (2012). The results show a high rate of interconnectedness between the stock market indices in the financial market. The analysis reveals that the volatility in the market during the outbreak of the pandemic is due to its outburst, given that its total spillover index estimates are about 51%, and all observed series demonstrate stationarity at the level state I(0). These results emphasize the importance of information circulation in financial markets, as rational investment decisions by current and potential investors are backed by information adequacy. Additionally, the results demonstrate the relevance of health as an important factor in deriving the proficiency levels of stock market indices, with further illustrative evidence of a non-trading period as a result of the pandemic outbreak.