SIGNATURE WORK
CONFERENCE & EXHIBITION 2024

The primary objective of this paper is to scrutinize the presence and extent of volatility transmissions within markets that have historically played pivotal roles in financial crises—specifically, the financial services, technology, real estate, and cryptocurrency markets. The analysis spans both the prelude to and during the latest financial turmoil, employing daily returns of stock market indices from 12/1/2017-2023 and applying the Conditional Mean Return and Diagonal BEKK GARCH Methodologies. The empirical findings highlight the existence of significant volatility spillover effects across the three markets, yet these spillovers are not uniform across the respective pairs. Notably, the results reveal substantial GARCH effects coupled with relatively low ARCH effects. This study provides compelling evidence of a high level of financial integration within the analyzed markets, underscoring the intricate dynamics of volatility transmission in the examined financial markets.

The analysis suggests that the returns of the real estate market do not exhibit a strong dependence on their own previous returns. Cross‐mean spillovers are generally insignificant, except for two notable observations: 1) Financial service market returns demonstrate positive spillover effects on real estate market returns. 2) Crypto market returns exhibit negative spillover effects on financial service market returns. Furthermore, the real estate market emerges as the least vulnerable to outside shocks, simultaneously exerting the least influence in terms of cross-volatility persistence. Conversely, the technology market, while having the smallest influence on its future volatility, is the most vulnerable to external shocks and holds the highest influence in terms of cross-volatility persistence.