Globalization and financial integration across the globe have increased degree of global stock market integration. The linkages among global stock markets have been studied by researchers. The COVID-19 pandemic has caused uncertainties in the global arena. While previous literature has documented the dominance of the U.S. in the international markets during the global crisis period and pre-crisis period, this paper investigates the influence of the U.S. market during the pandemic period and the dynamic linkages among different global stock markets namely the US, UK, India, China, Hong Kong, Japan and Australia Vector Autoregressive framework (VAR) is employed to observe the transmission across the implied volatility indices. The U.S. was found to be the leading source of shock transmission across all the select global markets.

KEYWORDS:  Market Linkages, Vector Auto Regressive Framework, COVID-19.

JEL Classification: G150, C320, I120.