Quantile coherency networks of international stock markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00115048" target="_blank" >RIV/00216224:14560/19:00115048 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S1544612319302089#" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612319302089#</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.frl.2019.04.022" target="_blank" >10.1016/j.frl.2019.04.022</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Quantile coherency networks of international stock markets

Popis výsledku v původním jazyce

This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and long-run connectedness significantly increased after the global financial crisis and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among developed markets. Frontier and emerging markets are relatively less connected. These findings have implications for international equity market diversification and risk management.

Název v anglickém jazyce

Quantile coherency networks of international stock markets

Popis výsledku anglicky

This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and long-run connectedness significantly increased after the global financial crisis and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among developed markets. Frontier and emerging markets are relatively less connected. These findings have implications for international equity market diversification and risk management.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance Research Letters

ISSN

1544-6123

e-ISSN

1544-6131

Svazek periodika

31

Číslo periodika v rámci svazku

n/a

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

11

Strana od-do

119-129

Kód UT WoS článku

000500640600014

EID výsledku v databázi Scopus

2-s2.0-85065257858