Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach
Systems
; 11(4):207, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2297817
ABSTRACT
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the connectedness level of the downside risk is higher than that of the upside risk and stock markets are more sensitive when the stock market declines. We also find that specific periods (e.g., the global financial crisis, the European debt crisis, and the COVID-19 turmoil) intensified the spillover effects across international stock markets. Our results demonstrate that DE, UK, EU, and US acted as net transmitters of dynamic connectedness;however, Japan, China, India, and Hong Kong acted as net receivers of dynamic connectedness during the sample period. These findings provide significant new information to policymakers and market participants.
Computers--Computer Systems; risk connectedness; value-at-risk; international stock market; extreme risk; Stock exchanges; Transmitters; Agricultural commodities; Investments; Energy industry; Securities markets; Pandemics; Decision making; Volatility; International finance; Coronaviruses; Public policy; Disease transmission; COVID-19; Risk levels; United States--US; China
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Systems
Year:
2023
Document Type:
Article
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