Return spillovers around the globe: A network approach

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Return spillovers around the globe: A network approach

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Return spillovers around the globe: A network approach

Popis výsledku anglicky

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.

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

Economic Modelling

ISSN

0264-9993

e-ISSN

—

Svazek periodika

77

Číslo periodika v rámci svazku

March

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

133-146

Kód UT WoS článku

000465510500013

EID výsledku v databázi Scopus

2-s2.0-85044542790