Return spillovers around the globe: A network approach
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00124593" target="_blank" >RIV/00216224:14560/19:00124593 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0264999317310519#" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0264999317310519#</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2017.11.003" target="_blank" >10.1016/j.econmod.2017.11.003</a>
Alternative languages
Result language
angličtina
Original language name
Return spillovers around the globe: A network approach
Original language description
We study the connectedness of a sample of 40 stock markets across five continents using daily closing prices and return spillovers based on Granger causality. All possible 1560 return spillovers between 40 markets create a complex network of relationships between equity markets around the world. Apart from analyzing the topological and time-varying properties of the created networks, we also identify the determinants of the connectedness of equity markets over time. Adjusting for non-synchronous trading, our modelling approach leads to evidence that the probability of return spillover from a given stock market to other markets increases with market volatility and market size and decreases with higher foreign exchange volatility. We empirically show that the temporal proximity between closing hours is important for information propagation; therefore, choosing markets that trade during similar hours bears an additional risk to investors because the probability of return spillovers increases.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Modelling
ISSN
0264-9993
e-ISSN
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Volume of the periodical
77
Issue of the periodical within the volume
March
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
133-146
UT code for WoS article
000465510500013
EID of the result in the Scopus database
2-s2.0-85044542790