Networks of volatility spillovers among stock markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10363576" target="_blank" >RIV/00216208:11230/18:10363576 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/18:00487923
Result on the web
<a href="http://dx.doi.org/10.1016/j.physa.2017.08.123" target="_blank" >http://dx.doi.org/10.1016/j.physa.2017.08.123</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2017.08.123" target="_blank" >10.1016/j.physa.2017.08.123</a>

Result language
angličtina
Original language name
Networks of volatility spillovers among stock markets
Original language description
In our network analysis of 40 developed, emerging and frontier stock markets during the 2006-2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We document the presence of significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness, which is measured by high spatial autocorrelation. This finding is confirmed by spatial regression models showing that indirect effects are much stronger than direct effects; i.e., market-related changes in 'neighboring' markets (within a network) affect volatility spillovers more than changes in the given market alone, suggesting that spatial effects simply cannot be ignored when modeling stock market relationships. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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