https://www.socictopen.socict.org/files/original/d99fca2fdfa930e96128a9518e7449f6.pdf e243ac1bbb142a5e994954af0a1562c1 Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Coronavirus Description An account of the resource Dominio científico: Coronavirus Text A resource consisting primarily of words for reading. Examples include books, letters, dissertations, poems, newspapers, articles, archives of mailing lists. Note that facsimiles or images of texts are still of the genre Text. Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Intraday Volatility Spillovers among European Financial Markets during COVID-19 Creator An entity primarily responsible for making the resource Paulo Ferreira, Faheem Aslam, Khurrum Shahzad Mughal, Beenish Bashir Description An account of the resource During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December 2019 to 29 May 2020. Using the methodology of Diebold and Yilmaz , we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the highest gross directional volatility spillovers are found in Sweden and the Netherlands, while the minimum spillovers to other stock markets are observed in the stock markets of Poland and Ireland. However, German and Dutch markets transmit the highest net directional volatility spillovers. Splitting the whole sample in pre- and post-pandemic declaration (11 March 2020) we find more stable spillovers in the latter. The findings reveal important information about European stock market interdependence during COVID-19, which will be beneficial to both policy-makers and practitioners. Date A point or period of time associated with an event in the lifecycle of the resource 2021 Subject The topic of the resource covid-19, European Union, high-frequency data, spillovers, stock markets JEL classification Identifier An unambiguous reference to the resource within a given context 10.3390/ijfs9010005 Source A related resource from which the described resource is derived Epidemiology and Health Publisher An entity responsible for making the resource available Korean Society of Epidemiology Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant Finance