A Note on the Asian Market Volatility During the COVID-19 Pandemic

Abstract

This paper provides a note on commonality in volatility for five developed Asian economies, namely Hong Kong, Japan, Russia, Singapore and South Korea. Additionally, we examine whether the COVID-19 pandemic changed the commonality in volatility within the Asian region. Overall, we find that commonality in volatility during the COVID-19 period is more prominent in the case of Singapore compared to other four economies.