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Given the dearth of thorough summaries in the literature, this systematic review and bibliometric analysis attempt to take a meticulous approach meant to present knowledge on the constantly developing subject of stock market volatility during crises. In outline, this study aims to map the extant literature available on stock market volatility during crisis periods.

The present study reviews 1,283 journal articles from the Scopus database published between 1994 and 2022, using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) 2020 flow diagram. Bibliometric analysis through software like R studio and VOSviewer has been performed, that is, annual publication trend analysis, journal analysis, citation analysis, author influence analysis, analysis of affiliations, analysis of countries and regions, keyword analysis, thematic mapping, co-occurrence analysis, bibliographic coupling, co-citation analysis, Bradford’s law and Lotka’s law, to map the existing literature and identify the gaps.

The literature on the effects of crises on volatility in financial markets has grown in recent years. It was discovered that volatility intensified during crises. This increased volatility can be linked to COVID-19 and the global financial crisis of 2008, as both had massive effects on the world economy. Moreover, we identify specific patterns and factors contributing to increased volatility, providing valuable insights for further research and decision-making.

The present study is confined to the areas of economics, econometrics and finance, business, management and accounting and social sciences. Future studies could be conducted considering a broader perspective.

Most of the available literature has focused on the impact of some particular crises on the volatility of financial markets. The present study is not limited to some specific crises, and the suggested research directions will serve as a guide for future research.

This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices.

The connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The period of study is from 1 January 2014 to 20 April 2023.

This analysis revealed that volatility connectedness among the countries during COVID-19 and Russia–Ukraine conflict had increased significantly. Furthermore, analysis has indicated that investors had not anticipated the World Health Organization announcement of COVID-19 as a global pandemic. Contrarily, investors had anticipated the Russian invasion of Ukraine, evident in a significant rise in volatility before and after the invasion. In addition, the transmission of volatility is from developed to developing countries. Developed countries are NET volatility transmitters, whereas developing countries are NET volatility receivers. Finally, the ordinary least square regression result suggests that the volatility connectedness index is informative of stock market dynamics.

The connectedness approach has been widely used to estimate the dynamic connectedness among market indices, cryptocurrencies, sectoral indices, enegy commodities and metals. To the best of the authors’ knowledge, none of the previous studies have directly used the volatility indices to measure the volatility connectedness. Hence, this study is the first of its kind that has used volatility indices to measure the volatility connectedness among the countries.

This study analyses the impact of the Covid-19 on stock market performance of BRICS nations together. BRICS countries comprise almost 30% of the global GDP and around 50% of the world’s economic growth. As BRICS nations have gained the attraction as financial investment destinations, their financial markets have apparently been as potential opportunities for foreign portfolio investors. While there is extensive research on the impact of the Covid-19 pandemic on individual economies and global financial markets, this paper is among the first to systematically investigate the dynamic connectedness of these emerging economies during the pandemic using the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach.

We categorise our data into two distinct periods: the pre-Covid period spanning from January 1, 2018, to March 10, 2020, and the Covid crisis period extending from March 11, 2020, to June 4, 2021. To achieve our research objectives, we employ the Time-Varying Parameter Vector Autoregressions (TVP-VAR) approach to assess dynamic connectedness.

Our findings reveal that among the BRICS nations, Brazil and South Africa serve as net transmitters of shocks, while China and India act as net receivers of shocks during the Covid crisis. However, the total connectedness index (TCI) has exhibited a notable increase throughout this crisis period. This paper makes several notable contributions to the academic literature by offering a unique focus on BRICS economies during the Covid-19 pandemic, providing practical insights for stakeholders, emphasising the importance of risk management and investment strategy, exploring diversification implications and introducing advanced methodology for analysing interconnected financial markets.

The results have important implications for the investors, the hedge funds, portfolio managers and the policymakers in BRICS stock markets. The investors, investment houses, portfolio managers and policymakers can develop investment strategies and policies in the light of the findings of this study to cope up the future pandemic crisis.

This study is one of its kind that examines the dynamic connectedness of BRICS with recently developed TVP-VAR approach across pandemic crisis.

The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7).

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. Global vector autoregressive (GVAR) empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.

The authors summarize the results in four points: (1) financial integration variables increase the effect of the US stock market on the BRICS and G7, (2) the US shock produces similar responses in these groups regarding industrial production, stock markets and confidence but different responses regarding domestic currencies: in the BRICS, the authors detect appreciation of the currencies, while in the G7, the authors find depreciation, (3) G7 stock markets and policy rates are more sensitive to the US shock than the BRICS and (4) the estimates point out to heterogeneities such as the importance of industrial production to the transmission shock in Japan and China, the exchange rate to India, Japan and the UK, the interest rates to the Eurozone and the UK and confidence to Brazil, South Africa and Canada.

The results reinforce the importance of taking into account different levels of economic development.

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. GVAR empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.

This paper aims to examine potential diversification benefits between Eurozone (i.e. EURO STOXX 50) and key Asia markets: HSI (Hong Kong), KOSPI (South Korea), NIKKEI 225 (Japan) and TSEC (Taiwan). The sample covers the period from 04-01-2008 to 19-10-2023 in daily frequency.

The empirical investigation is based on the wavelet coherence analysis, which is a localized correlation coefficient in the time and frequency domain.

The results provide evidence that long-term diversification benefits exist between EURO STOXX and NIKKEI, EURO STOXX and KOSPI (after 2015) and there are signs for the pair and EURO STOXX-TSEC (after 2014). During the short term, there are signs of diversification benefits during the sample period. However, during the medium term, the diversification benefits seem to diminish.

These results have crucial implications for investors regarding the benefits of international portfolio diversification.

This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress (FS), and returns as well as volatilities on seven carefully selected stock markets in Africa. Specifically, the study intends to unravel the co-movement and interdependence between the respective macroeconomic shock indicators and each of the stock markets under consideration across time and frequency.

This study employed wavelet coherence approach to examine the strength and stability of the relationships across different time scales and frequency components, thereby providing valuable insights into specific periods and frequency ranges where the relationships are particularly pronounced.

The study found that GEPU, Financial Stress (FS) and GPR failed to induce significant influence on African stock market returns in the short term (0–4 months band), but tend to intensify in the long-term band (after 6th month). On the contrary, stock market volatilities exhibited strong coherence and interdependence with GEPU, FSI and GPR in the short-term band.

This study happens to be the first of its kind to comprehensively consider how the aforementioned macro-economic shock indicators impact stock markets returns and volatilities over time and frequency. Further, none of the earlier studies has attempted to examine the relationship between macro-economic shocks, stock returns and volatilities in different crisis periods. This study is the first of its kind in to employ data spanning from May 2007 to April 2023, thereby covering notable crisis periods such as global financial crisis (GFC) and the COVID-19 pandemic episodes.

Drawing upon a political economy approach, this article aims to analyze the transformations in the labor market within the context of contemporary capitalism, focusing on the phenomenon of financialization.

Financialization is defined as a distinct wealth pattern marked by a growing proportion of financial assets in capitalist wealth. Within financial markets, corporate performance is continuously assessed, in a process that disciplines management to achieve expected financial results, with consequences throughout corporate management.

We find that this phenomenon has implications for labor management, resulting in the intensification of labor processes and the adoption of insecure forms of employment, leading to the fractalization of work. These two mechanisms, added to the indebtedness of workers, constitute three elements for disciplining labor in contemporary capitalism.

We argue that these forms of discipline constitute a subsumption of labor to finance, resulting in an increase in labor exploitation. This formulation of the relationship between financialization and changes in the realm of labor also contributes to understanding the unrealizing potential of social free time in contemporary capitalism.

The present research study aims to explore the impact of the most recent Israeli–Palestinian conflict, which unfolded in October 2023, on global equity markets, including a wide range of both emerging and developed markets (as per the Morgan Stanley Capital Investment country classification).

The market model of event study methodology, with an estimation window of 200 days and 28-day event window (including event day, i.e. October 7, 2023), has been employed to investigate the event’s impact on the stock markets of different countries, with 24 emerging countries and 23 developed countries. The daily closing prices of the prominent indices of all 47 countries have been analyzed to examine the impact of the conflict on emerging markets, developed markets and overall global equity markets. Additionally, cross-sectional regression analysis has been performed to investigate the possible explanations for abnormal returns.

The findings of the study suggest the heterogeneous impact of the selected event on different markets. Notably, emerging markets and the overall global equity landscape exhibited substantial negative responses on the event day, as reflected in average abnormal returns of −0.47% and −0.397%, respectively. In contrast, developed markets displayed resilience, with no significant negative impact observed on the day of the event. A closer examination of individual countries revealed diverse reactions, with Poland, Egypt, Greece, Denmark and Portugal standing out for their positive or resilient market responses. Poland, in particular, demonstrated significantly positive cumulative abnormal returns (CARs) of 7.16% in the short-term and 8.59% in the long-term event windows (−7, +7 and −7, +20, respectively), emphasizing its robust performance amid the geopolitical turmoil. The study also found that, during various event windows, specific variables had a significant impact on the CARs.

The study suggests diversification and monitoring of geopolitical risks are key strategies for investors to enhance portfolio resilience during the Israeli–Palestinian conflict. This study identifies countries such as Poland, Egypt, Greece, Denmark and Portugal with positive or resilient market reactions, providing practical insights for strategic investment decisions. Key takeaways include identifying resilient markets, leveraging opportunistic strategies and navigating market dynamics during geopolitical uncertainties.

As per the authors’ thorough investigation and review of the literature, the present study is the earliest attempt to explore the short-term and long-term impact of the 2023 Israeli–Palestinian conflict on equity markets worldwide using the event study approach and cross-sectional regression analysis.

This study aims to investigate the market reaction in the real estate market to the announcement of Russia’s invasion of Ukraine.

This study uses the event study method to assess the market reaction to the announcement that Russia is invading Ukraine. The sample in this study comprises 2,325 companies in the real estate market. We also conduct a cross-sectional analysis to determine the influence of the North Atlantic Treaty Organization (NATO) members and company characteristics on market reactions during the invasion.

The global market reacts significantly negative toward Russia’s invasion of Ukraine. This indicates that the war poses a high geopolitical risk that prompts financial markets down. The authors also demonstrate that emerging and frontier markets react significantly negative to the invasion before and after its announcement. Meanwhile, developed markets tend to react only before the invasion is announced. Furthermore, we find that the NATO members react more strongly than other markets.

This result implies that war prompts investors to flee from the stock exchange, while the deeper the country’s involvement, the more investors worry about the risks.

This study is the first to discuss the market reaction to the Russian invasion of Ukrainian, specifically in the real estate market.

Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.

To address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.

The results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.

This study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.