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This paper explains the mechanisms underlying the generation of two-way knowledge spillovers through the interaction of subsidiaries with differentiated local responsibilities and domestic firms.

The study is based on firm-level panel data from a census of Colombian manufacturing firms for the period 2003–2012. The estimation procedure involves two stages. In the first one, total factor productivity (TFP) of foreign and domestic firms is estimated. In a second step, we estimate conventional spillovers (from foreign-owned to local firms) and reverse spillovers (from local to foreign-owned firms) separately, using a random effect approach.

This study’s findings reveal that only locally creative subsidiaries enjoy positive and significant two-way knowledge spillover effects. The connectivity of subsidiaries to local and international networks is reinforced by reciprocal relationships among actors that enhance bidirectional knowledge flows, these being favored by the dynamics of clustering effects.

The paper contributes with new empirical evidence about the mechanism explaining how the technological heterogeneity of subsidiaries plays a determinant role in the generation of both knowledge flows from foreign to domestic firms and to the reverse, all integrated into the same framework.

Purpose: This study investigates internal/own shock in the domestic market and three external volatility spillovers from India, the UK, and the USA to the Sri Lanka stock market.

Need for the Study: The external market’s internal/own shocks and volatility spillovers influence portfolio choices in domestic stock market returns. Hence, it is required to investigate the internal shock in the domestic market and the external volatility spillovers from other countries.

Methodology: This study employs a quantitative method using ARMA(1,1)-GARCH(1,1) model. All Share Price Index (ASPI) is the proxy for the Colombo Stock Exchange (CSE) stock return. It uses daily time-series data from 1^st April 2010 to 21^st June 2023.

Findings: The findings revealed that internal/own and external shocks substantially impact the stock price volatility in CSE. Significant volatility clusters and persistence with extended memory in ASPI confirm internal/own shock in the market. Furthermore, CSE receives significant volatility shock from the USA, confirming external shock. This study’s findings highlight the importance of considering internal and external shocks in portfolio decision-making.

Practical Implications: Understanding the influence of internal shocks helps investors manage their portfolios and adapt to market volatility. Recognising significant volatility spillovers from external markets, especially the USA, informs diversification strategies. From a policy standpoint, the study emphasises the need for robust regulations and risk management measures to address shocks in domestic and global markets. This study adds value to the literature by assessing the sources of volatility shocks in the CSE, employing the ARMA-GARCH, a sophisticated econometrics model, to capture stock returns volatility, enhancing understanding of the CSE’s volatility dynamics.

This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.

The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.

Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.

The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.

To estimate the volatility of exchange and stock markets and examine its spillover within and across the member countries of BRICS during COVID-19 and the conflict between Russia and Ukraine.

The study utilizes the “dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH)” approach of Gabauer (2020). The volatility of the markets is calculated following the approach of Parkinson (1980). The sample dataset comprises the daily volatility of the stock and exchange markets for 35 months, from November 2019 to September 2022.

The study confirms the existence of contagion effects among member countries. Volatility spillover between exchange and stock markets is low within the country but substantial across borders. Russian contribution increased significantly during the conflict with Ukraine, and other countries also witnessed a surge in the spillover index during the pandemic and war.

It adds to the body of literature by emphasizing the necessity of comprehending the economies' behavior and interdependence. Offers insightful information to decision-makers who must be more watchful regarding the financial crisis and its regional spillover.

The study is the first to explore the contagion of volatility among the BRICS countries during the two biggest crisis periods of the decade.

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.

This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.

The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.

This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

The main purpose of this paper is to explore whether the nature of innovation is accumulative or radical and to what extent past year accumulation of technology stock can predict future innovation. More importantly, the authors are concerned with whether a change of policy regime or a variance in the quality of technology will moderate the nature of innovation.

The authors examined a dataset of 3.6 million Chinese patents during 1985–2015 and constructed more than 5 million citation pairs across 8 sections and 128 classes to track knowledge spillover across technology fields. The authors used this citation dataset to calculate the technology innovation network. The authors constructed a measure of upstream invention, interacting the pre-existing technology innovation network with historical patent growth in each technology field, and estimated measure's impact on future innovation since 2005. The authors also constructed three sets of metrics – technology dependence, centrality and scientific value – to identify innovation quality and a policy dummy to consider the impact of policy on innovation.

Innovation growth is built upon past year accumulation and technology spillover. Innovation grows faster for technologies that are more central and grows more slowly for more valuable technologies. A pro-innovation and pro-intellectual property right (IPR) policy plays a positive and significant role in driving technical progress. The authors also found that for technologies that have faster access to new information or larger power to control knowledge flow, the upstream and downstream innovation linkage is stronger. However, this linkage is weaker for technologies that are more novel or general. On most occasions, the nature of innovation was less responsive to policy shock.

This paper contributes to the debate on the nature of innovation by determining whether upstream innovation has strong predictive power on future innovation. The authors develop the assumption used in the technology spillover literature by considering a time-variant, directional and asymmetric matrix to model technology diffusion. For the first time, the authors answer how the nature of innovation will vary depending on the technology network configurations and policy environment. In addition to contributing to the academic debate, the authors' study has important implications for economic growth and industrial or innovation management policies.

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.

This study aims to empirically explore and compare the dynamic dependency between health-care sector and Islamic industries before, during and after the COVID-19 pandemic.

Time-varying student-t copula is used for before, during and after COVID-19 periods. The data used are the daily frequency price series of the selected markets from February 2017 to October 2023.

Empirical results found strong evidence of significant impact of the COVID-19 pandemic on the dependence structure of the studied indexes: Co-movements between various sectors are certain. The authors assist also in the birth of new dependence structure with the health-care industry in response to the COVID-19 crisis. This reflects the contagion occurrence from the health-care sector to other sectors.

By specifically examining the Islamic industry, this study sheds light on the resilience, challenges and opportunities within this sector, contributing novel perspectives to the broader discourse on pandemic-related impacts on economies and industries. Also, this paper conducts a comprehensive temporal analysis, examining the dynamics before, during and after the COVID-19 lockdown. Such approach enables an understanding of how the relationship between the health-care sector and the Islamic industry evolves over time, accounting for both short-term disruptions and long-term effects. By considering the pre-pandemic context, the paper adopts a longitudinal perspective, enabling a deeper understanding of how historical trends, structural factors and institutional frameworks shape the interplay between the health-care sector and the Islamic industry.

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.

The rise of emerging economies in the innovation landscape has often been attributed to the positive spillovers of innovation capabilities from multinational corporations (MNCs). However, it is less certain that their innovative capabilities imported from the home country function effectively in the host country from the outset. This study examines the performance of the innovation capabilities of MNC subsidiaries in emerging economies over time by considering the gradual process of their learning about host countries.

We employed stochastic frontier analysis to measure innovation capabilities, our focal construct. For regression analysis, we applied the Mundlak estimator, a variant of the fixed-effects panel estimator, to a sample comprising subsidiaries of MNCs from technologically advanced nations operating in Korea between 2006 and 2016.

Our results indicate that the innovation capabilities of MNC subsidiaries initially underperform those of local firms but improve over time, eventually surpassing the capabilities of their local counterparts. Furthermore, our findings reveal that institutional distance amplifies the underperformance of the innovation capabilities of MNC subsidiaries.

This study contributes to the literature by extending both theoretical development and empirical measurement of innovation capabilities in cross-national settings. Additionally, it deepens our understanding of whether and how MNC subsidiaries adapt their innovation capabilities to the local market environment.